# EDGAR Filing Document

**Accession Number:** 0000799295
**File Stem:** 0001775697-23-000122
**Filing Date:** 2023-2
**Character Count:** 105273
**Document Hash:** cce3f701e394edfd11e617a4a0c7fc43
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001775697-23-000122.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001775697-23-000122

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BNY Mellon Investment Funds I
- **CENTRAL INDEX KEY:** 0000799295
- **IRS NUMBER:** 043106135
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04813
- **FILM NUMBER:** 23664687

**BUSINESS ADDRESS:**
- **STREET 1:** C/O BNY MELLON INVESTMENT ADVISER, INC.
- **STREET 2:** 240 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10286
- **BUSINESS PHONE:** 212-922-6400

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DREYFUS INVESTMENT FUNDS
- **DATE OF NAME CHANGE:** 20081201

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10286

  - **Telephone number:** 212 495 1784

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

- **a. Name of Series:** BNY Mellon Global Fixed Income Fund

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1866658339.45

**Total Liabilities:** $2051048.07

**Net Assets:** $1864607291.38

**Delayed Delivery Securities:** $1225341.00

**Cash Not Reported:** $1262853.40

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2194.86112931 | **1-Year:** -50824.50481872 | **5-Year:** -195918.17747555 | **10-Year:** -283832.63785337 | **30-Year:** -46030.13777968

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

- **3-Month:** -270.98092149 | **1-Year:** -18055.45675689 | **5-Year:** -42530.37558011 | **10-Year:** -22670.1129324 | **30-Year:** -2418.63304946

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000031763 | -0.05%               | 3.01%                | -0.59%               |
| Class ID C000081694 | -0.05%               | 2.92%                | -0.62%               |
| Class ID C000081695 | -0.11%               | 2.85%                | -0.67%               |
| Class ID C000130461 | 0.00%                | 2.95%                | -0.58%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-9953047.06             | $5652092.43                                |
| Month 2  | $-11812375.33            | $124152339.58                              |
| Month 3  | $-1436750.44             | $-3600539.26                               |

**Designated Index Information**

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

- **Index Identifier:** LEGATRUH

### Schedule of Portfolio Investments

| Name                             | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AFRICAN EXPORT-IMPORT BA         | AFRICAN EXPORT-IMPORT BANK/THE                                                   | CUSIP: AU8210364<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | CORP              | XX        |      4350000 | PA      | $4336889.10    | 0.23%             | 2023-10-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST   | CAMB COMMERCIAL MORTGAGE TRUST 2019-LIFE                                         | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8350000 | OU      | $8233902.44    | 0.44%             | 2037-12-15      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST          | CARMAX AUTO OWNER TRUST 2019-3                                                   | CUSIP: 14315PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3445000 | OU      | $3382956.58    | 0.18%             | 2025-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST               | SEASONED LOANS STRUCTURED TRANSACTION SERIES 2019-1                              | CUSIP: 35564CBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5000000 | OU      | $4593230.00    | 0.25%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHC COMMERCIAL MORTGAGE TRUST    | CHC COMMERCIAL MORTGAGE TRUST 2019 - CHC                                         | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3374519 | OU      | $3215804.20    | 0.17%             | 2034-06-15      | Variable      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT               | SEASONED CREDIT RISK TRANSFER TRUST 2017-4                                       | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2406506 | OU      | $2347541.22    | 0.13%             | 2057-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST          | CARMAX AUTO OWNER TRUST 2019-3                                                   | CUSIP: 14315PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3065000 | OU      | $2994154.67    | 0.16%             | 2025-06-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CGDB COMMERCIAL MORTGAGE TRUST   | CGDB COMMERCIAL MORTGAGE TRUST 2019-MOB                                          | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5750000 | OU      | $5618080.63    | 0.30%             | 2036-11-15      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST           | OSCAR US FUNDING X LLC                                                           | CUSIP: 68784YAF1<br>LEI: 353800SUUA8QI9Y7NC83 | Long             | ABS-MBS          | CORP              | JP        |      3718778 | OU      | $3673577.21    | 0.20%             | 2026-05-10      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST          | FANNIE MAE GRANTOR TRUST 2017-T1                                                 | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7653367 | OU      | $7142739.03    | 0.38%             | 2027-06-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT               | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3                                | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2611534 | OU      | $2484877.65    | 0.13%             | 2058-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                  | SBA TOWER TRUST                                                                  | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8030000 | PA      | $7573795.63    | 0.41%             | 2025-01-15      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST           | OSCAR US FUNDING XI LLC                                                          | CUSIP: 68784EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | JP        |      7065458 | OU      | $6928238.86    | 0.37%             | 2026-09-10      | Fixed         | 2.68%                 | Yes           |                  2 | On Loan: No      |
| HOSPITALITY MORTGAGE TRUST       | HPLY TRUST 2019-HIT                                                              | CUSIP: 40443RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6573385 | OU      | $6414608.51    | 0.34%             | 2036-11-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVA   | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1                                  | CUSIP: 03067DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8725000 | OU      | $8444859.45    | 0.45%             | 2025-10-20      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                 | SPIRIT REALTY LP                                                                 | CUSIP: 84861TAG3<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |      4505000 | PA      | $3607017.22    | 0.19%             | 2031-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                 | SPIRIT REALTY LP                                                                 | CUSIP: 84861TAD0<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |      2645000 | PA      | $2301540.40    | 0.12%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                  | SBA TOWER TRUST                                                                  | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6860000 | PA      | $6042265.36    | 0.32%             | 2026-01-15      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES            | TRICON AMERICAN HOMES 2019-SFR1 TRUST                                            | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7471651 | OU      | $6852465.18    | 0.37%             | 2038-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC - SLST               | SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2019-3                        | CUSIP: 35564CEJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      6425000 | OU      | $5578343.06    | 0.30%             | 2029-11-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST               | SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2019-2                        | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4437890 | OU      | $4085398.83    | 0.22%             | 2029-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST           | TESLA AUTO LEASE TRUST 2020-A                                                    | CUSIP: 88167HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2400000 | OU      | $2381625.60    | 0.13%             | 2024-01-22      | Fixed         | 1.18%                 | Yes           |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST           | OSCAR US FUNDING TRUST VIII LLC                                                  | CUSIP: 68784CAE2<br>LEI: 353800N5RGHXWI4JYR18 | Long             | ABS-MBS          | CORP              | JP        |       453375 | OU      | $452148.50     | 0.02%             | 2025-05-12      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P   | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                     | CUSIP: 3137FJF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3874912 | OU      | $3839824.28    | 0.21%             | 2025-08-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| SPRINGCASTLE SPV                 | SPRINGCASTLE AMERICA FUNDING LLC                                                 | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3450600 | OU      | $3115497.83    | 0.17%             | 2037-09-25      | Fixed         | 1.97%                 | Yes           |                  2 | On Loan: No      |
| SLM CORP                         | SLM CORP                                                                         | CUSIP: 78442PGD2<br>LEI: 4K8SLPBF5DXXGPW03H93 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1741684.88    | 0.09%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT               | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4                                | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3685072 | OU      | $3529322.06    | 0.19%             | 2058-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST           | TESLA AUTO LEASE TRUST 2021-A                                                    | CUSIP: 88161FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5775000 | OU      | $5488654.13    | 0.29%             | 2025-03-20      | Fixed         | 1.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P   | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                     | CUSIP: 3137FHQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5824170 | OU      | $5627541.32    | 0.30%             | 2025-07-01      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-SAVE                                  | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4567835 | OU      | $4280912.57    | 0.23%             | 2040-02-15      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT               | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3                                | CUSIP: 35563PSU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2497075 | OU      | $2301169.79    | 0.12%             | 2060-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST    | LIFE 2021-BMR MORTGAGE TRUST                                                     | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4275920 | OU      | $4145802.19    | 0.22%             | 2038-03-15      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| MULTIFAMILY STRUCTURED CREDIT    | FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK                                   | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1157394 | OU      | $1085325.19    | 0.06%             | 2051-01-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC - SLST               | SEASONED LOANS STRUCTURED TRANSACTION SERIES 2018-2                              | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5103440 | OU      | $4872403.52    | 0.26%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRASS PLC                        | BRASS NO 10 PLC                                                                  | CUSIP: BCC2R4V61<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |      2168039 | OU      | $2070659.52    | 0.11%             | 2069-04-16      | Variable      | 0.67%                 | Yes           |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL   | DOMINO'S PIZZA MASTER ISSUER LLC                                                 | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5540625 | OU      | $4625217.34    | 0.25%             | 2051-04-25      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT            | AMERICAN HOMES 4 RENT 2014-SFR3 TRUST                                            | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3844889 | OU      | $3703517.39    | 0.20%             | 2036-12-01      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| TRP LLC                          | TRP 2021 LLC                                                                     | CUSIP: 87267CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6808062 | OU      | $5717359.93    | 0.31%             | 2051-06-19      | Fixed         | 2.07%                 | Yes           |                  2 | On Loan: No      |
| FORD MOTOR CO                    | FORD MOTOR CO                                                                    | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      4690000 | PA      | $3377024.65    | 0.18%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST   | CARVANA AUTO RECEIVABLES TRUST 2021-N2                                           | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2222134 | OU      | $2043014.79    | 0.11%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                      | BXHPP TRUST 2021-FILM                                                            | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9620000 | OU      | $8763832.51    | 0.47%             | 2036-08-15      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| TRIUMPH RAIL LLC                 | TRP 2021-2 A                                                                     | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6931252 | OU      | $5917172.79    | 0.32%             | 2051-06-19      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST     | UPSTART SECURITIZATION TRUST 2021-4                                              | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4498887 | OU      | $4356038.12    | 0.23%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| US TREASURY N/B                  | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6900000 | PA      | $4520308.61    | 0.24%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI               | BRASKEM IDESA SAPI                                                               | CUSIP: 10554NAB4<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |      1300000 | PA      | $930427.47     | 0.05%             | 2032-02-20      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| FARM 2021-1 MORTGAGE TRUST       | FARM 21-1 MORTGAGE TRUST                                                         | CUSIP: 30768WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5992998 | OU      | $4877938.74    | 0.26%             | 2051-01-01      | Variable      | 2.18%                 | Yes           |                  2 | On Loan: No      |
| SBA TOWER TRUST                  | SBA TOWER TRUST                                                                  | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6340000 | PA      | $4886203.13    | 0.26%             | 2031-10-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| PUREWEST FUNDING LLC             | PUREWEST FUNDING LLC                                                             | CUSIP: 746245AA7<br>LEI: 549300CU0IQI7FATI376 | Long             | ABS-MBS          | CORP              | US        |      3750237 | OU      | $3559237.12    | 0.19%             | 2036-12-22      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| FORD MOTOR CO                    | FORD MOTOR CO                                                                    | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      4645000 | PA      | $3491747.30    | 0.19%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN    | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-NQM1                                    | CUSIP: 64830JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5941483 | OU      | $5132295.47    | 0.28%             | 2061-04-01      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVA   | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-1                                  | CUSIP: 03066TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1439361 | OU      | $1422477.74    | 0.08%             | 2026-01-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QPCQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7059659 | OU      | $6632451.33    | 0.36%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43124066 | OU      | $40510409.61   | 2.17%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     42472657 | OU      | $38638482.95   | 2.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25275000 | PA      | $17585871.09   | 0.94%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     35337738 | OU      | $34882172.14   | 1.87%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DNKA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27136881 | OU      | $26787038.32   | 1.44%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16826455 | OU      | $15799676.51   | 0.85%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8221870 | OU      | $7720151.13    | 0.41%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     86610285 | OU      | $78791875.03   | 4.23%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     70110684 | OU      | $67556653.25   | 3.62%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                  | WEA FINANCE LLC                                                                  | CUSIP: ZR9993562<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      2764000 | PA      | $2369373.49    | 0.13%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                  | WEA FINANCE LLC                                                                  | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      3410000 | PA      | $2923141.68    | 0.16%             | 2027-01-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KMEM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      8588895 | OU      | $7063015.80    | 0.38%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC         | CELANESE US HOLDINGS LLC                                                         | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      1672000 | PA      | $1594621.45    | 0.09%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| FREDDIE MAC                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DNF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     38558391 | OU      | $31642496.43   | 1.70%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JBS SA                           | JBS USA                                                                          | CUSIP: 46590XAT3<br>LEI: 529900RM0MTMZL9O5050 | Long             | DBT              | CORP              | US        |      5915000 | PA      | $4799697.18    | 0.26%             | 2032-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                  | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     51600000 | PA      | $36498937.50   | 1.96%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                    | FORD MOTOR CO                                                                    | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      7973000 | PA      | $7377277.37    | 0.40%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                  | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     74960000 | PA      | $46955412.50   | 2.52%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     21435300 | PA      | $19522869.33   | 1.05%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XTAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21139698 | OU      | $18943171.51   | 1.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL         | WEA FINANCE LLC / WESTFIELD UK & EUROPE FINANCE PLC                              | CUSIP: 92890HAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6752000 | PA      | $4692849.72    | 0.25%             | 2044-09-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| RVM3AK3PCMGF888U_1093400_L       | CZK/EUR FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | CZ        |    103805997 | NC      | $4587945.31    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| 9LXFGEU                          | SWOCDX39 5Y 0.9 18-01-2023 PUT - CITI                                            | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | US        |   -412400000 | NC      | $-316863.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| 90TASVIGE84CSFTO_1093400_S       | SEK/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | SE        |      -885789 | NC      | $-84983.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SM75R5VEM7MCAJ6I_1093400_L       | JPY/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | JP        |      3000000 | NC      | $22917.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DT33PVPKG9KRSF8H_1093400_S       | SEK/USD FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | SE        |    -38597006 | NC      | $-3703057.07   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| FF6TRSE2459F0PFB_1093400_L       | KRW/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | KR        |   6389287000 | NC      | $5054715.69    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| 1OJNI03SAR48TG1P_1093400_S       | CHF/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | CH        |     -7850000 | NC      | $-8507866.53   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| 8M6P572DUJ6BAK3I_1093400_S       | AUD/USD FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | AU        |    -33542069 | NC      | $-22855475.66  | -1.23%            |  |  |  | No            |                  2 | On Loan: No      |
| K7M9K1JDMF5INHPF_1093400_S       | EUR/USD FWD 20230118 0642                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | XX        |   -522764845 | NC      | $-560342876.61 | -30.05%           |  |  |  | No            |                  2 | On Loan: No      |
| CT99VFI737L01HQ8_1093400_L       | TWD/USD FWD 20230118 GOLDUS33                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | TW        |    142688000 | NC      | $4651453.91    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| 6J6LK58JAHTPD25L_1093400_S       | BRL/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | BR        |    -36028000 | NC      | $-6797511.40   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| IBG73FRBNOVGI67H_1093400_S       | MYR/USD FWD 20230118 GOLDUS33                                                    | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | MY        |    -30815000 | NC      | $-7001300.74   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| 3IH393CQR2MG0JAM_1093400_S       | IDR/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | ID        | -92819470000 | NC      | $-5961143.17   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| 47TS0TL0EJHRAASK_1093400_L       | AUD/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | AU        |     26903771 | NC      | $18332157.25   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD      | NATIONAL AUSTRALIA BANK LTD                                                      | CUSIP: AZ8505663<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |      4218000 | PA      | $3568607.56    | 0.19%             | 2034-08-02      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| E7G3SVCT38S8MVA2_1093400_L       | EUR/CHF FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | XX        |      4445189 | NC      | $4817716.80    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| I47J9USQVI3N8E3T_1093400_S       | MXN/USD FWD 20230118 GOLDUS33                                                    | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | MX        |   -884233426 | NC      | $-45210830.66  | -2.42%            |  |  |  | No            |                  2 | On Loan: No      |
| RTOP8MAKBHVB561B_1093400_S       | CAD/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | CA        |    -64016113 | NC      | $-47283586.41  | -2.54%            |  |  |  | No            |                  2 | On Loan: No      |
| GVSOT0834TK4MGI1_1093400_S       | SGD/USD FWD 20230118 229                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | SG        |     -8924756 | NC      | $-6665854.39   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| 3Q4T0G619HKP9GCA_1093400_S       | CZK/EUR FWD 20230118 GOLDUS33                                                    | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | CZ        |     -9021980 | NC      | $-9670509.67   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| GDN9RQCITO1JTAN7_1093400_S       | JPY/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | JP        | -14787207494 | NC      | $-112962271.15 | -6.06%            |  |  |  | No            |                  2 | On Loan: No      |
| 3FJ9G5QAEBFDM5SB_1093400_L       | EUR/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | XX        |      9865578 | NC      | $10574747.20   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20075000 | PA      | $18908924.75   | 1.01%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TPQIEPHQA4HBC94R_1093400_S       | KRW/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | KR        |  -1022220000 | NC      | $-808702.36    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| 71MJLU3F2FI4KBA5_1093400_S       | INR/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | IN        |   -319432000 | NC      | $-3856942.77   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| 7NNB1JDVJFO5NNGE_1093400_L       | INR/USD FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | IN        |    319432000 | NC      | $3856942.77    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| 9LXHM0U                          | SWOITX38 5Y 0.9 15-02-2023 PUT - CITI                                            | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | US        |   -185500000 | NC      | $-777166.20    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| 7IQ8LMRR8RFKM6MU_1093400_S       | THB/USD FWD 20230118 GOLDUS33                                                    | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | TH        |   -147200000 | NC      | $-4258458.33   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| 7OQ2NM8N2QVOT6BR_1093400_S       | ZAR/USD FWD 20230118 229                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | ZA        |   -327214807 | NC      | $-19224846.97  | -1.03%            |  |  |  | No            |                  2 | On Loan: No      |
| VUK9B3CM3AS3PVGK_1093400_S       | NZD/USD FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | NZ        |    -15361067 | NC      | $-9755506.29   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| E7G3SVCT38S8MVA2_1093400_S       | EUR/CHF FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | XX        |     -4502000 | NC      | $-4825618.35   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP             | WESTPAC BANKING CORP                                                             | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |      6841000 | PA      | $5878876.29    | 0.32%             | 2034-07-24      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| 164P327T2GTD12HD_1093400_S       | KRW/USD FWD 20230118 229                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | KR        |  -2452722000 | NC      | $-1940406.24   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| 3Q4T0G619HKP9GCA_1093400_L       | CZK/EUR FWD 20230118 GOLDUS33                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | CZ        |    219592524 | NC      | $9705397.73    | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| 34DD9RN785A65R5O_1093400_L       | EUR/CZK FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | XX        |      8987000 | NC      | $9633014.69    | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| 9LXHLMU                          | SWOITX38 5Y 0.85 18-01-2023 PUT - CITI                                           | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | US        |   -189200000 | NC      | $-744074.73    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| 9LXJM3U_1093400_S                | ICE Buy Protection CDX.NA.IG.39 20271220 - MS - CON                              | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | US        |   -483800000 | NC      | $-3855920.21   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| 9LXFGGU                          | SWOITX38 5Y 1.025 18-01-2023 PUT - CITI                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | US        |   -371200000 | NC      | $-259456.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| 0GOD42UB8NL56I06_1093400_S       | GBP/USD FWD 20230118 229                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | GB        |    -63405265 | NC      | $-76694016.98  | -4.11%            |  |  |  | No            |                  2 | On Loan: No      |
| 74Q0UH9L5KP0FQQA_1093400_L       | NZD/USD FWD 20230118 229                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | NZ        |     15355826 | NC      | $9752177.48    | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| VCQIR4CSQVE0T4MR_1093400_L       | CAD/USD FWD 20230118 0642                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | CA        |      3637095 | NC      | $2686431.67    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| 9LXHLNU                          | SWOITX38 5Y 0.85 18-01-2023 CALL - CITI                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | US        |   -189200000 | NC      | $-155490.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| 733RQFP0GCC5KVRC_1093400_S       | NZD/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | NZ        |    -24186123 | NC      | $-15360122.43  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| 9LXHM1U                          | SWOITX38 5Y 0.9 15-02-2023 CALL - CITI                                           | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | US        |   -185500000 | NC      | $-506267.30    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| 9LXFGFU                          | SWOITX38 5Y 0.925 18-01-2023 PUT - CITI                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              |  | US        |    185600000 | NC      | $350321.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ARE9QV1UPQIHUCGL_1093400_S       | TWD/USD FWD 20230118 229                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | TW        |    -90625000 | NC      | $-2954263.92   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| KUB9G33K9O4EKGHU_1093400_S       | CNH/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | CN        |   -405335745 | NC      | $-58659802.51  | -3.15%            |  |  |  | No            |                  2 | On Loan: No      |
| IT9RAHIJ51TH51T9_1093400_L       | AUD/NZD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | AU        |      4682000 | NC      | $3190302.25    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| 9LXFGDU                          | SWOCDX39 5Y 0.8 18-01-2023 PUT - CITI                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              |  | US        |    206200000 | NC      | $478615.79     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 3140M7PV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19446059 | OU      | $15996783.09   | 0.86%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARE9QV1UPQIHUCGL_1093400_L       | TWD/USD FWD 20230118 229                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | TW        |     90625000 | NC      | $2954263.92    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2325000 | PA      | $2373134.75    | 0.13%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| 462D2LA8B6VD35TA_1093400_S       | CHF/EUR FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | CH        |     -9253829 | NC      | $-9919024.47   | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| 462D2LA8B6VD35TA_1093400_L       | CHF/EUR FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | CH        |      9128693 | NC      | $9893720.35    | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| S5JHNDA42AJ3MDO9_1093400_S       | TWD/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | TW        |   -285377000 | NC      | $-9302940.41   | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| K0J71F0QQ2SM3VQ4_1093400_L       | GBP/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | GB        |      2335214 | NC      | $2824637.83    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N99L4TOF80390D78_1093400_L       | EUR/USD FWD 20230118 229                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | XX        |      8500000 | NC      | $9111007.55    | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| RVM3AK3PCMGF888U_1093400_S       | CZK/EUR FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | CZ        |     -4273000 | NC      | $-4580157.09   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| E7G3SVCT38S8MVA2_1093400_L       | EUR/CHF FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | XX        |      4590000 | NC      | $4919944.08    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| IT9RAHIJ51TH51T9_1093400_S       | AUD/NZD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | AU        |     -4951180 | NC      | $-3144395.21   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| S5JHNDA42AJ3MDO9_1093400_L       | TWD/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DFE              |  | TW        |    142689000 | NC      | $4651486.50    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| DT7VU0GCDEJQNDQ5_1093400_S       | KRW/USD FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | KR        | -52096775000 | NC      | $-41214987.84  | -2.21%            |  |  |  | No            |                  2 | On Loan: No      |
| 47TS0TL0EJHRAASK_1093400_S       | AUD/USD FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | AU        |     -2885353 | NC      | $-1966071.50   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| E7G3SVCT38S8MVA2_1093400_S       | EUR/CHF FWD 20230118 2467                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | XX        |     -4512154 | NC      | $-4890293.07   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| 34DD9RN785A65R5O_1093400_S       | EUR/CZK FWD 20230118 908                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | XX        |   -218546675 | NC      | $-9659174.02   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XJXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25715000 | OU      | $22140943.38   | 1.19%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 3FJ9G5QAEBFDM5SB_1093400_S       | EUR/USD FWD 20230118 816                                                         | CUSIP: N/A<br>LEI: N/A                        | Short            | DFE              |  | XX        |    -19873858 | NC      | $-21302455.60  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND                      | SWISS CONFEDERATION GOVERNMENT BOND                                              | CUSIP: AT0621702<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | USGSE             | CH        |      8525000 | PA      | $8373188.34    | 0.45%             | 2032-06-27      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GMF CANADA LEASING TRUST         | GMF CANADA LEASING TRUST                                                         | CUSIP: 36252MBU3<br>LEI: 549300KHZQ7YBTEOJU80 | Long             | ABS-MBS          | CORP              | CA        |       917511 | OU      | $676382.95     | 0.04%             | 2025-11-20      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| CNH CAPITAL CANADA RECEIVABLES   | CNH CAPITAL CANADA RECEIVABLES TRUST                                             | CUSIP: 12614ADF4<br>LEI: 984500F690CEB062EF31 | Long             | ABS-MBS          | CORP              | CA        |      6240932 | OU      | $4401009.08    | 0.24%             | 2026-11-16      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT              | CANADIAN GOVERNMENT BOND                                                         | CUSIP: 135087L93<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | USGSE             | CA        |     19000000 | PA      | $12798478.58   | 0.69%             | 2026-09-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MBARC CREDIT CANADA INC          | MBARC CREDIT CANADA INC                                                          | CUSIP: 552755BS8<br>LEI: 549300T0LAPKEKVWBV33 | Long             | ABS-MBS          | CORP              | CA        |      7200000 | OU      | $5137949.78    | 0.28%             | 2026-02-17      | Fixed         | 0.93%                 | Yes           |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST   | FORD AUTO SECURITIZATION TRUST II SERIES 2022-A ASSET-BACKED NOTES               | CUSIP: 345214AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     11382000 | OU      | $8443527.39    | 0.45%             | 2028-09-15      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT              | CANADIAN GOVERNMENT BOND                                                         | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | USGSE             | CA        |     21200000 | PA      | $11903784.34   | 0.64%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT            | AUSTRALIA GOVERNMENT BOND                                                        | CUSIP: QZ5429456<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | USGSE             | AU        |      5240000 | PA      | $2837699.79    | 0.15%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES          | PHILIPPINE GOVERNMENT INTERNATIONAL BOND                                         | CUSIP: ZP6060526<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | USGSE             | PH        |      8600000 | PA      | $9180627.50    | 0.49%             | 2023-02-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTERNATIONAL AG | RAIFFEISEN BANK INTERNATIONAL AG                                                 | CUSIP: BY9992987<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      2700000 | PA      | $2871616.47    | 0.15%             | 2032-12-20      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                   | EDP FINANCE BV                                                                   | CUSIP: BV2249175<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |      2300000 | PA      | $2170896.90    | 0.12%             | 2029-09-21      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO                 | WELLS FARGO & CO                                                                 | CUSIP: BJ1181772<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     18102000 | PA      | $16449184.23   | 0.88%             | 2030-05-04      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND              | KOREA TREASURY BOND                                                              | CUSIP: AW8985946<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | USGSE             | KR        |   8000000000 | PA      | $4565613.86    | 0.24%             | 2049-03-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL          | MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP                                  | CUSIP: BR5786222<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5125000 | PA      | $4200837.85    | 0.23%             | 2026-10-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| IBERCAJA BANCO SA                | IBERCAJA BANCO SA                                                                | CUSIP: ZP5396970<br>LEI: 549300OLBL49CW8CT155 | Long             | DBT              | CORP              | ES        |      7900000 | PA      | $7409954.84    | 0.40%             | 2030-07-23      | Variable      | 2.75%                 | No            |                  2 | On Loan: —       |
| UBS GROUP AG                     | UBS GROUP AG                                                                     | CUSIP: BS1695607<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     10029000 | PA      | $8089399.59    | 0.43%             | 2031-11-03      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                 | ABN AMRO BANK NV                                                                 | CUSIP: BW7912254<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |      3600000 | PA      | $3500624.55    | 0.19%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                | TENNET HOLDING BV                                                                | CUSIP: BW2997052<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | CORP              | NL        |     10700000 | PA      | $10277164.59   | 0.55%             | 2029-11-17      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| AT&T INC                         | AT&T INC                                                                         | CUSIP: 00206RCJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1408000 | PA      | $1225202.73    | 0.07%             | 2035-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND              | KOREA TREASURY BOND                                                              | CUSIP: BN7932278<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | USGSE             | KR        |   3692860000 | PA      | $2010049.34    | 0.11%             | 2051-03-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GEMGARTO                         | GEMGARTO 2021-1 PLC                                                              | CUSIP: BCC2QHUW7<br>LEI: 635400KLHB2FIID9TE45 | Long             | ABS-CBDO         | CORP              | GB        |      4535174 | OU      | $5406577.10    | 0.29%             | 2067-12-16      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                          | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                           | CUSIP: BJ5968141<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | USGSE             | RO        |      6390000 | PA      | $5615298.43    | 0.30%             | 2030-05-26      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| BUNDESSCHATZANWEISUNGEN          | BUNDESSCHATZANWEISUNGEN                                                          | CUSIP: ZN0726002<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | USGSE             | DE        |     18775000 | PA      | $19916862.27   | 1.07%             | 2024-12-12      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC             | BAT INTERNATIONAL FINANCE PLC                                                    | CUSIP: AO7043042<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      5700000 | PA      | $4974194.88    | 0.27%             | 2030-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II             | DH EUROPE FINANCE II SARL                                                        | CUSIP: ZR4416965<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |      6120000 | PA      | $5916563.37    | 0.32%             | 2026-03-18      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT               | SWEDEN GOVERNMENT BOND                                                           | CUSIP: EJ0857460<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | USGSE             | SE        |     37450000 | PA      | $3561569.52    | 0.19%             | 2032-06-01      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| VONOVIA SE                       | VONOVIA SE                                                                       | CUSIP: BR1517753<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |      7500000 | PA      | $5349177.81    | 0.29%             | 2032-09-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA         | REPUBLIC OF SOUTH AFRICA GOVERNMENT BOND                                         | CUSIP: EK7732887<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | USGSE             | ZA        |    375450000 | PA      | $18634119.62   | 1.00%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| DIGITAL EURO FINCO               | DIGITAL EURO FINCO LLC                                                           | CUSIP: JK7307651<br>LEI: 635400OUEAPTXSW3SC91 | Long             | DBT              | CORP              | US        |      5814000 | PA      | $6045781.93    | 0.32%             | 2024-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ORANO SA                         | ORANO SA                                                                         | CUSIP: ZO2644011<br>LEI: 969500161UMNDC85C891 | Long             | DBT              | CORP              | FR        |      4700000 | PA      | $4539437.46    | 0.24%             | 2028-03-08      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| VONOVIA SE                       | VONOVIA SE                                                                       | CUSIP: BV4086070<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |     10500000 | PA      | $8973358.09    | 0.48%             | 2032-03-25      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                         | AT&T INC                                                                         | CUSIP: EJ4795344<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      2376000 | PA      | $2413917.21    | 0.13%             | 2032-12-17      | Fixed         | 3.55%                 | No            |                  2 | On Loan: —       |
| WINTERSHALL DEA FINANCE          | WINTERSHALL DEA FINANCE BV                                                       | CUSIP: ZR6354826<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |      1100000 | PA      | $956276.52     | 0.05%             | 2028-09-25      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO         | SPAIN GOVERNMENT BOND                                                            | CUSIP: BT4353020<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | USGSE             | ES        |     31925000 | PA      | $26638062.69   | 1.43%             | 2032-04-30      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)            | JAPAN GOVERNMENT TEN YEAR BOND                                                   | CUSIP: BX6257485<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | USGSE             | JP        |   2471000000 | PA      | $18436246.42   | 0.99%             | 2032-06-20      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT           | NEW ZEALAND GOVERNMENT BOND                                                      | CUSIP: QJ1094474<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | USGSE             | NZ        |     32046000 | PA      | $18728238.36   | 1.00%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                     | AMPRION GMBH                                                                     | CUSIP: BY9995865<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      6200000 | PA      | $6560340.82    | 0.35%             | 2032-09-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                | TENNET HOLDING BV                                                                | CUSIP: BW2997060<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | CORP              | NL        |      3999000 | PA      | $3704136.68    | 0.20%             | 2033-05-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                     | AMPRION GMBH                                                                     | CUSIP: BY9995832<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      6300000 | PA      | $6626937.36    | 0.36%             | 2027-09-22      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BUNDESSCHATZANWEISUNGEN          | BUNDESSCHATZANWEISUNGEN                                                          | CUSIP: BY1915333<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | USGSE             | DE        |     28550000 | PA      | $29439501.56   | 1.58%             | 2024-09-13      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT          | MEXICAN BONOS                                                                    | CUSIP: QJ1649335<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | USGSE             | MX        |    130000000 | PA      | $6042741.10    | 0.32%             | 2026-03-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| INDONESIA GOVERNMENT             | INDONESIA TREASURY BOND                                                          | CUSIP: ZQ4375866<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | USGSE             | ID        |  93430000000 | PA      | $6180148.22    | 0.33%             | 2040-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                 | FRENCH REPUBLIC GOVERNMENT BOND OAT                                              | CUSIP: AP3656380<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | USGSE             | FR        |     51050000 | PA      | $49054389.68   | 2.63%             | 2028-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SUEZ                             | SUEZ SACA                                                                        | CUSIP: BW4875892<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |     11900000 | PA      | $11193689.08   | 0.60%             | 2030-05-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG           | CREDIT SUISSE GROUP AG                                                           | CUSIP: ZP3177406<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      3780000 | PA      | $3032571.94    | 0.16%             | 2028-01-14      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| HAMMERSON IRELAND                | HAMMERSON IRELAND FINANCE DAC                                                    | CUSIP: BP7949749<br>LEI: 63540093EUHUMTGSHN61 | Long             | DBT              | CORP              | IE        |     13025000 | PA      | $10920104.10   | 0.59%             | 2027-06-03      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| VONOVIA SE                       | VONOVIA SE                                                                       | CUSIP: BP9476923<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |      1400000 | PA      | $1104562.08    | 0.06%             | 2029-12-14      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN           | BERKSHIRE HATHAWAY FINANCE CORP                                                  | CUSIP: BV0736157<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      7940000 | PA      | $7211759.47    | 0.39%             | 2030-03-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TOWER BRIDGE FUNDING             | TOWER BRIDGE FUNDING 2021-2 PLC                                                  | CUSIP: BCC3195P3<br>LEI: 63540046RPZ8IOOPGL28 | Long             | ABS-CBDO         | CORP              | GB        |      4688882 | OU      | $5574478.89    | 0.30%             | 2063-11-20      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT              | UNITED KINGDOM GILT                                                              | CUSIP: BS6564410<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | USGSE             | GB        |     21275000 | PA      | $20370349.66   | 1.09%             | 2032-01-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| 9LX8XJU_1093400_S                | ICE Buy Protection ITRAXX EUROPE SENIOR FINANCIALS SERIES 38 20271220 - MS - CON | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | XX        |   -160100000 | NC      | $-56722.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ INC                       | NASDAQ INC                                                                       | CUSIP: BQ7215842<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     10672000 | PA      | $8138596.65    | 0.44%             | 2033-07-30      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND              | KOREA TREASURY BOND                                                              | CUSIP: AU6128873<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | USGSE             | KR        |  11350200000 | PA      | $8324633.06    | 0.45%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTERNATIONAL AG | RAIFFEISEN BANK INTERNATIONAL AG                                                 | CUSIP: BR1561827<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      1100000 | PA      | $945444.68     | 0.05%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                     | ING GROEP NV                                                                     | CUSIP: BU3958651<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      4900000 | PA      | $4378796.79    | 0.23%             | 2031-02-16      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC         | CELANESE US HOLDINGS LLC                                                         | CUSIP: BX7555788<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     10993000 | PA      | $11172764.88   | 0.60%             | 2029-01-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: —       |
| BPCE SA                          | BPCE SA                                                                          | CUSIP: BN3350699<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      4100000 | PA      | $3284069.80    | 0.18%             | 2031-01-14      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG           | CREDIT SUISSE GROUP AG                                                           | CUSIP: BV3327780<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     12330000 | PA      | $9576543.39    | 0.51%             | 2032-04-02      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                      | SOUTHERN CO/THE                                                                  | CUSIP: BR3544508<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      5625000 | PA      | $4726675.67    | 0.25%             | 2081-09-15      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND         | BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE                                         | CUSIP: BR2469814<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | USGSE             | DE        |     34000000 | PA      | $18229568.68   | 0.98%             | 2052-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND          | IRELAND GOVERNMENT BOND                                                          | CUSIP: EK7325393<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | USGSE             | IE        |      2150000 | PA      | $1848078.40    | 0.10%             | 2045-02-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| 9LXCBFU_1093400_L                | ICE Sell Protection ITRAXX EUROPE SERIES 38 20271220 - MS - CON                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DCR              |  | XX        |    197450000 | NC      | $907075.85     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                 | ABN AMRO BANK NV                                                                 | CUSIP: BR4722566<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     10300000 | PA      | $8760153.67    | 0.47%             | 2029-09-23      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND              | KOREA TREASURY BOND                                                              | CUSIP: BY0249312<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | USGSE             | KR        |  29223600000 | PA      | $20769781.05   | 1.11%             | 2052-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND          | IRELAND GOVERNMENT BOND                                                          | CUSIP: BT4945924<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | USGSE             | IE        |      5875000 | PA      | $4890105.42    | 0.26%             | 2032-10-18      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT          | MEXICAN BONOS                                                                    | CUSIP: EI8047355<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | USGSE             | MX        |    821500000 | PA      | $39043646.11   | 2.09%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                   | MORGAN STANLEY                                                                   | CUSIP: BZ8087133<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     18505000 | PA      | $20621962.11   | 1.11%             | 2034-01-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| AT&T INC                         | AT&T INC                                                                         | CUSIP: ZR4572619<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      4725000 | PA      | $4538140.97    | 0.24%             | 2026-03-04      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND            | CHINA GOVERNMENT BOND                                                            | CUSIP: ZO3452687<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | USGSE             | CN        |    371150000 | PA      | $58652185.76   | 3.15%             | 2050-09-14      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT              | UNITED KINGDOM GILT                                                              | CUSIP: AM7816755<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | USGSE             | GB        |     17100000 | PA      | $18635509.68   | 1.00%             | 2027-07-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC     | BRITISH AMERICAN TOBACCO PLC                                                     | CUSIP: BR4859087<br>LEI: 213800FKA5MF17RJKT63 | Long             | DBT              | CORP              | GB        |      6500000 | PA      | $5436978.26    | 0.29%             | 2171-12-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| 9LX8N7U_1093400_S                | ICE Buy Protection ITRAXX EUROPE CROSSOVER SERIES 38 20271220 - MS - CON         | CUSIP: N/A<br>LEI: N/A                        | Short            | DCR              |  | XX        |    -43700000 | NC      | $-466926.15    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SUEZ                             | SUEZ SACA                                                                        | CUSIP: BW4875900<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      1000000 | PA      | $905244.24     | 0.05%             | 2034-05-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT              | UNITED KINGDOM GILT                                                              | CUSIP: BP1300568<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | USGSE             | GB        |     29700000 | PA      | $19417864.75   | 1.04%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                     | ING GROEP NV                                                                     | CUSIP: BS5948424<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     11300000 | PA      | $9539214.55    | 0.51%             | 2030-11-29      | Variable      | 0.88%                 | No            |                  2 | On Loan: —       |
| FEDEX CORP                       | FEDEX CORP                                                                       | CUSIP: 31428XCC8<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     18120000 | PA      | $13912208.23   | 0.75%             | 2033-05-04      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP             | BANK OF AMERICA CORP                                                             | CUSIP: BO5826777<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2696000 | PA      | $2238967.58    | 0.12%             | 2031-03-22      | Variable      | 0.69%                 | No            |                  2 | On Loan: —       |
| MALAYSIA GOVERNMENT              | MALAYSIA GOVERNMENT BOND                                                         | CUSIP: EI7257542<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | USGSE             | MY        |     29845000 | PA      | $6869433.47    | 0.37%             | 2031-06-30      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                      | BNP PARIBAS SA                                                                   | CUSIP: BT3080152<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     12800000 | PA      | $10919247.68   | 0.59%             | 2030-07-11      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID NA INC             | NATIONAL GRID NORTH AMERICA INC                                                  | CUSIP: BT5129841<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | DBT              | CORP              | US        |     14654000 | PA      | $12198916.82   | 0.65%             | 2031-01-20      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| VONOVIA FINANCE BV               | VONOVIA FINANCE BV                                                               | CUSIP: ZR4575067<br>LEI: 5299009XLZLD9TALOZ03 | Long             | DBT              | CORP              | NL        |      1700000 | PA      | $1338984.22    | 0.07%             | 2029-09-14      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT             | SINGAPORE GOVERNMENT BOND                                                        | CUSIP: AS3039433<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | USGSE             | SG        |      9000000 | PA      | $6603180.53    | 0.35%             | 2028-05-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE        | TORONTO-DOMINION BANK/THE                                                        | CUSIP: BV6622823<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     13559000 | PA      | $12553562.07   | 0.67%             | 2030-04-08      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                 | FRENCH REPUBLIC GOVERNMENT BOND OAT                                              | CUSIP: ZP7360719<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | USGSE             | FR        |     12800000 | PA      | $7373848.78    | 0.40%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| WPC EUROBOND BV                  | WPC EUROBOND BV                                                                  | CUSIP: 92940NAA7<br>LEI: 5493005XDMOLBARL5M14 | Long             | DBT              | CORP              | NL        |      2975000 | PA      | $3061389.75    | 0.16%             | 2024-07-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                      | BNP PARIBAS SA                                                                   | CUSIP: BV6624860<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      6000000 | PA      | $5324758.70    | 0.29%             | 2032-04-07      | Fixed         | 2.10%                 | No            |                  2 | On Loan: —       |
| JAPAN (30 YEAR ISSUE)            | JAPAN GOVERNMENT THIRTY YEAR BOND                                                | CUSIP: BH6206925<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | USGSE             | JP        |   7558900000 | PA      | $43706199.12   | 2.34%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA         | ELECTRICITE DE FRANCE SA                                                         | CUSIP: BP7958104<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     12600000 | PA      | $10555221.25   | 0.57%             | 2171-06-01      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                     | AMPRION GMBH                                                                     | CUSIP: BR4166590<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      5000000 | PA      | $3771307.91    | 0.20%             | 2033-09-23      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| AT&T INC                         | AT&T INC                                                                         | CUSIP: BJ5954919<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     14690000 | PA      | $13984461.68   | 0.75%             | 2028-05-19      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTERNATIONAL AG | RAIFFEISEN BANK INTERNATIONAL AG                                                 | CUSIP: BJ9481323<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      7500000 | PA      | $6592596.47    | 0.35%             | 2032-06-18      | Variable      | 2.88%                 | No            |                  2 | On Loan: —       |
| CELANESE US HOLDINGS LLC         | CELANESE US HOLDINGS LLC                                                         | CUSIP: BX7555762<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      4130000 | PA      | $4218163.83    | 0.23%             | 2026-07-19      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| PARAGON MORTGAGES PLC            | PARAGON MORTGAGES NO 25 PLC                                                      | CUSIP: BCC2AQNG7<br>LEI: 21380052TU89YPMW5366 | Long             | ABS-CBDO         | CORP              | GB        |      1200000 | OU      | $1445172.06    | 0.08%             | 2050-05-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC      | HONEYWELL INTERNATIONAL INC                                                      | CUSIP: ZN0385817<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     12971000 | PA      | $13756650.18   | 0.74%             | 2034-11-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO              | JPMORGAN CHASE & CO                                                              | CUSIP: BV3005147<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5050000 | PA      | $4725661.45    | 0.25%             | 2030-03-23      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP             | BANK OF AMERICA CORP                                                             | CUSIP: BW0135945<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      5891000 | PA      | $5525578.65    | 0.30%             | 2033-04-27      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND         | THAILAND GOVERNMENT BOND                                                         | CUSIP: BY9989892<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | USGSE             | TH        |    145225000 | PA      | $4378625.12    | 0.23%             | 2037-06-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)            | JAPAN GOVERNMENT TWENTY YEAR BOND                                                | CUSIP: JK5016049<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | USGSE             | JP        |   6697250000 | PA      | $47958593.90   | 2.57%             | 2036-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL         | BRAZIL NOTAS DO TESOURO NACIONAL SERIE F                                         | CUSIP: BT2749815<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | USGSE             | BR        |     41000000 | PA      | $6670095.65    | 0.36%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRE   | Dreyfus Institutional Preferred Government Plus Money Market Fund                | CUSIP: N/A<br>LEI: 549300RBWL04JG8SIX57       | Long             | STIV             | RF                | US        |      2332190 | OU      | $2332189.55    | 0.13%             | 2099-12-01      | Variable      | 4.37%                 | No            |                  1 | On Loan: No      |
| JBH3 COMDTY                      | JPN 10Y BOND(OSE) MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | DIR              |  | JP        |          -54 | NC      | $-59850960.07  | -3.21%            |  |  |  | No            |                  1 | On Loan: No      |
| USH3 COMDTY                      | US LONG BOND(CBT) MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | DIR              |  | US        |          -38 | NC      | $-4763062.50   | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| UBH3 COMDTY                      | EURO-BUXL 30Y BND MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | DIR              |  | DE        |         -188 | NC      | $-27216319.70  | -1.46%            |  |  |  | No            |                  1 | On Loan: No      |
| G H3 COMDTY                      | LONG GILT FUTURE MAR23                                                           | CUSIP: N/A<br>LEI: N/A                        | Short            | DIR              |  | GB        |          -13 | NC      | $-1570063.36   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| DUH3 COMDTY                      | EURO-SCHATZ FUT MAR23                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DIR              |  | DE        |          668 | NC      | $75381688.45   | 4.04%             |  |  |  | No            |                  1 | On Loan: No      |
| XMH3 COMDTY                      | AUST 10Y BOND FUT MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DIR              |  | AU        |          183 | NC      | $14413393.89   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| TUH3 COMDTY                      | US 2YR NOTE (CBT) MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DIR              |  | US        |          475 | NC      | $97412109.85   | 5.22%             |  |  |  | No            |                  1 | On Loan: No      |
| TYH3 COMDTY                      | US 10YR NOTE (CBT)MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | DIR              |  | US        |         -350 | NC      | $-39303908.00  | -2.11%            |  |  |  | No            |                  1 | On Loan: No      |
| UXYH3 COMDTY                     | US 10YR ULTRA FUT MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DIR              |  | US        |          297 | NC      | $35129531.25   | 1.88%             |  |  |  | No            |                  1 | On Loan: No      |
| FVH3 COMDTY                      | US 5YR NOTE (CBT) MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | DIR              |  | US        |         -754 | NC      | $-81378986.26  | -4.36%            |  |  |  | No            |                  1 | On Loan: No      |
| RXH3 COMDTY                      | EURO-BUND FUTURE MAR23                                                           | CUSIP: N/A<br>LEI: N/A                        | Short            | DIR              |  | DE        |         -286 | NC      | $-40696346.69  | -2.18%            |  |  |  | No            |                  1 | On Loan: No      |
| CNH3 COMDTY                      | CAN 10YR BOND FUT MAR23                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DIR              |  | CA        |           79 | NC      | $7150258.49    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| OEH3 COMDTY                      | EURO-BOBL FUTURE MAR23                                                           | CUSIP: N/A<br>LEI: N/A                        | Short            | DIR              |  | DE        |        -1651 | NC      | $-204566473.96 | -10.97%           |  |  |  | No            |                  1 | On Loan: No      |
| 99VVB9HH4                        | DREYFUS INST PREF GOVT PLUS-SL #4134                                             | CUSIP: 99VVB9HH4<br>LEI: N/A                  | Long             |  | RF                | US        |     64109392 | OU      | $64109392.18   | 3.44%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-23

**Name of Applicant:** BNY Mellon Advantage Funds, Inc.

**Signature:** James Windels

**Name of Signer:** James Windels

**Title:** Fund Treasurer