# EDGAR Filing Document

**Accession Number:** 0000799295
**File Stem:** 0000940400-26-007314
**Filing Date:** 2026-2
**Character Count:** 177189
**Document Hash:** 57efa0c963b65e65d64ef4c9ba5fb6a1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-007314.hdr.sgml**: 20260223

**ACCESSION NUMBER**: 0000940400-26-007314

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260223

**DATE AS OF CHANGE**: 20260223

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04813
- **FILM NUMBER:** 26664947

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10286

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-12-31

**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:** $4577346744.77

**Total Liabilities:** $150702832.39

**Net Assets:** $4426643912.38

**Cash Not Reported:** $111434941.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 203.11128000 | **1-Year:** 37664.65316000 | **5-Year:** 591554.76028000 | **10-Year:** 412745.20233000 | **30-Year:** -59923.70377000

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

- **3-Month:** 0.00000000 | **1-Year:** 312.87487000 | **5-Year:** 66658.12927000 | **10-Year:** 44430.44593000 | **30-Year:** 4205.74510000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000031763 | 0.68%                | 0.24%                | -0.25%               |
| Class ID C000081694 | 0.64%                | 0.20%                | -0.28%               |
| Class ID C000081695 | 0.56%                | 0.15%                | -0.31%               |
| Class ID C000130461 | 0.68%                | 0.24%                | -0.24%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $8512062.03              | $-16125927.38                              |
| Month 2  | $-222395.10              | $3435219.36                                |
| Month 3  | $1326637.91              | $-15550870.08                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOLDMAN SACHS & CO. LLC                                           | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $8783.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $87369.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | CDS TEVA PHARMACEUTICAL INDUSTRIES LIMITED                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-45715.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/HUF FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $4361.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $21105.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-868.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-11279.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $5389.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $27043.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-69284.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                               | SWOP CDS ITRAXX.EU.44.V1                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              | CORP              | US        |    295800000 | NC      | $40234.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $720139.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $383832.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS INTESA SANPAOLO SPA                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-190422.16   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/SGD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-22830.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $5517.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4200.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BOBL                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         1255 | NC      | $-620914.48   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $437200.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | NOK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-40356.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-617969.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $27653.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ZIGGO BOND CO BV                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $164455.01    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1426.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $16093.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BUXL 30Y BND                                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          988 | NC      | $-1850797.04  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1851638.79  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $202625.04    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.42.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-3344.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1668805.57  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.FINSR.44.V1                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-5898129.26  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ZIGGO BOND CO BV                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $177756.52    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-43556.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                            | AUST 10Y BOND                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         2954 | NC      | $698390.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $195447.56    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                | LONG GILT                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -684 | NC      | $-1291746.58  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                             | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1145225.63  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-815809.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | IDR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $21660.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ELECTROLUX AB                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $9524.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1577448.89  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                    | CDS MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-61908.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                                | JAPAN 10Y BOND(OSE)                                                             | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |           27 | NC      | $-134494.14   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS CDX.NA.IG.45.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $8482011.46   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $532229.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-463332.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.44.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $9319386.46   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          229 | NC      | $-39015.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-1297354.56  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS SEK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $912632.26    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | TRS IBOXXMJA INDEX                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $52441.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-3496067.24  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $3720585.76   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | TRS IBOXX EUR LIQUID HIGH YIELD INDEX                                           | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DIR              | CORP              | US        |            1 | NC      | $194884.39    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS USD                                                                     | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-137665.78   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS EUR                                                                     | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $3405712.01   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-72809.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS SEK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $320905.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | TRS IBOXXMJA INDEX                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $484795.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | TRS IBOXIG INDEX                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-39037.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-185369.89   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS SEK                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $74418.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS USD                                                                     | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-212547.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS EUR                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-1314798.93  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | TRS IBOXXMJA INDEX                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |            1 | NC      | $301879.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS EUR                                                                     | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $2076405.75   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                                           | Hungary Government Bond                                                         | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |       710000 | PA      | $1633.79      | 0.00%             | 2033-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $246269.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                                    | Czech Republic Government Bond                                                  | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     96730000 | PA      | $4318739.90   | 0.10%             | 2033-03-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL                                    | Stack Infrastructure Issuer LLC                                                 | CUSIP: 85236KAP7<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |      4900000 | PA      | $4848868.01   | 0.11%             | 2050-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                              | Sartorius Finance BV                                                            | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |      4000000 | PA      | $4975229.32   | 0.11%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                     | Ballyrock CLO 24 Ltd                                                            | CUSIP: 05875AAJ7<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |      5420000 | PA      | $5428731.62   | 0.12%             | 2038-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                          | FMC Corp                                                                        | CUSIP: 302491AX3<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      3210000 | PA      | $2815137.58   | 0.06%             | 2033-05-18      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| AAREAL BANK AG                                                    | Aareal Bank AG                                                                  | CUSIP: 000000000<br>LEI: EZKODONU5TYHW4PP1R34 | Long             | DBT              | CORP              | DE        |      1900000 | PA      | $2326418.69   | 0.05%             | 2034-12-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QVGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17568309 | PA      | $17628088.52  | 0.40%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBRIGACOES DO TESOURO                                             | Portugal Obrigacoes do Tesouro OT                                               | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |      5250000 | PA      | $6085014.61   | 0.14%             | 2034-10-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                  | ABN AMRO Bank NV                                                                | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     11200000 | PA      | $11570707.23  | 0.26%             | 2035-12-03      | Fixed         | 5.51%                 | 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        |      1662000 | PA      | $1441148.10   | 0.03%             | 2044-09-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-33276.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    157056000 | PA      | $158209380.00 | 3.57%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| VOLKSBANK WIEN AG                                                 | Volksbank Wien AG                                                               | CUSIP: 000000000<br>LEI: 529900D4CD6DIB3CI904 | Long             | DBT              | CORP              | AT        |      7700000 | PA      | $9420064.21   | 0.21%             | 2035-12-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XKTX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31527552 | PA      | $27270991.78  | 0.62%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                             | Cellnex Finance Co SA                                                           | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      2100000 | PA      | $2451755.12   | 0.06%             | 2032-05-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                    | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RHM9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      2831000 | PA      | $2970733.06   | 0.07%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    106000000 | PA      | $14777217.43  | 0.33%             | 2055-08-25      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                            | Williams Cos Inc/The                                                            | CUSIP: 969457CS7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      8890000 | PA      | $9046817.02   | 0.20%             | 2035-09-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50900000 | PA      | $51333445.06  | 1.16%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     30610000 | PA      | $4957818.58   | 0.11%             | 2053-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                           | Eni SpA                                                                         | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      5459000 | PA      | $5418478.17   | 0.12%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/CZK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-40649.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    782050000 | PA      | $2796475.55   | 0.06%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                          | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     48495000 | PA      | $56568116.12  | 1.28%             | 2054-10-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                                       | Swiss Confederation Government Bond                                             | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     14445000 | PA      | $18600212.48  | 0.42%             | 2032-06-27      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMT53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18663717 | PA      | $16102082.35  | 0.36%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                          | Italy Buoni Poliennali Del Tesoro                                               | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     51375000 | PA      | $65288264.35  | 1.47%             | 2033-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                       | Exelon Corp                                                                     | CUSIP: 30161NBS9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      6700000 | PA      | $6753693.53   | 0.15%             | 2055-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      8625000 | PA      | $8161324.18   | 0.18%             | 2055-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     41300000 | PA      | $41199169.77  | 0.93%             | 2032-08-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                                 | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6340000 | PA      | $5725921.55   | 0.13%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                    | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RGY4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      3643000 | PA      | $3739112.90   | 0.08%             | 2029-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-77437.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    138175000 | PA      | $139958861.36 | 3.16%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                                | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      3480000 | PA      | $3667721.00   | 0.08%             | 2033-08-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                            | Williams Cos Inc/The                                                            | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      7866000 | PA      | $8198708.28   | 0.19%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     26150000 | PA      | $30305679.98  | 0.68%             | 2033-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      2110000 | PA      | $1928812.23   | 0.04%             | 2032-04-19      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20641999 | PA      | $17786400.55  | 0.40%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12136717 | PA      | $12342466.47  | 0.28%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                             | Tricon American Homes 2019-SFR1 Trust                                           | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7387015 | PA      | $7357376.16   | 0.17%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     21900000 | PA      | $21586898.33  | 0.49%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DUV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6570367 | PA      | $6741980.42   | 0.15%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/COP FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-79798.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-37033.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    151275000 | PA      | $155349378.83 | 3.51%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XRN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24208805 | PA      | $24780104.68  | 0.56%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRE                                    | DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND               | CUSIP: 000000000<br>LEI: 549300RBWL04JG8SIX57 | Long             | STIV             | RF                | US        |     36296415 | NS      | $36296414.98  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                                 | CUSIP: 000000000<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      2764000 | PA      | $2721756.88   | 0.06%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     14275000 | PA      | $13754185.48  | 0.31%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | Morgan Stanley                                                                  | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     10506000 | PA      | $10417007.46  | 0.24%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: —       |
| APTIV SWISS HOLDINGS LTD                                          | Aptiv Swiss Holdings Ltd                                                        | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      3790000 | PA      | $2437034.88   | 0.06%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    114250000 | PA      | $118744131.15 | 2.68%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     21500000 | PA      | $27226796.55  | 0.62%             | 2033-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                  | COLT 2023-4 Mortgage Loan Trust                                                 | CUSIP: 12598WAA0<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |      4148973 | PA      | $4203286.08   | 0.09%             | 2068-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-13457.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                                   | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     69420926 | PA      | $36773489.30  | 0.83%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                    | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       435395 | PA      | $426149.87    | 0.01%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                                | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      2577000 | PA      | $2934576.61   | 0.07%             | 2030-05-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: —       |
| Triumph Rail LLC                                                  | Triumph Rail Holdings LLC                                                       | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5779110 | PA      | $5590775.99   | 0.13%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                           | Yorkshire Water Finance PLC                                                     | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |      2200000 | PA      | $3126158.88   | 0.07%             | 2031-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                    | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      3804000 | PA      | $3905954.81   | 0.09%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132E0Z39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8505419 | PA      | $8751094.95   | 0.20%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                                            | Netherlands Government Bond                                                     | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     13300000 | PA      | $15190768.69  | 0.34%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNZW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21285971 | PA      | $18372823.93  | 0.42%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     27809000 | PA      | $14143679.15  | 0.32%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-52904.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 210000000000 | PA      | $136977026.76 | 3.09%             | 2035-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                    | Ginnie Mae II Pool                                                              | CUSIP: 3622ADKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4325642 | PA      | $4248688.45   | 0.10%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DUTC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2643634 | PA      | $2712677.27   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5665016 | PA      | $4883581.68   | 0.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    138520000 | PA      | $137957262.50 | 3.12%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   7778000000 | PA      | $5362885.94   | 0.12%             | 2053-03-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Y6W48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14887545 | PA      | $15413155.79  | 0.35%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                              | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 109930000000 | PA      | $7211666.76   | 0.16%             | 2040-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                             | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      5240000 | PA      | $2525296.45   | 0.06%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                              | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |      8000000 | PA      | $9288193.29   | 0.21%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-OAT                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1609 | NC      | $878911.69    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    406020000 | PA      | $53645318.20  | 1.21%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| RENTOKIL TERMINIX LLC                                             | Rentokil Terminix Funding LLC                                                   | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |      1182000 | PA      | $1203104.31   | 0.03%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Logistics                                                 | Sequoia Logistics 2025-1 DAC                                                    | CUSIP: 000000000<br>LEI: 635400SNUE4YGPESHU40 | Long             | ABS-MBS          | CORP              | IE        |      7793000 | PA      | $9202449.29   | 0.21%             | 2037-02-17      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                                  | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      6666674 | PA      | $6941707.59   | 0.16%             | 2054-10-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                           | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AF9<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      5217000 | PA      | $5025400.56   | 0.11%             | 2043-05-19      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| TRP LLC                                                           | TRP 2021 LLC                                                                    | CUSIP: 87267CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5905534 | PA      | $5696074.54   | 0.13%             | 2051-06-19      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    126800000 | PA      | $127552875.00 | 2.88%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II, LLC                                           | DataBank Issuer II LLC                                                          | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11011000 | PA      | $10867336.18  | 0.25%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DTLF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5945003 | PA      | $5324540.24   | 0.12%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     19591000 | PA      | $10755370.40  | 0.24%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | NOK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $19485.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QU7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8373181 | PA      | $8558432.58   | 0.19%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                             | Cellnex Finance Co SA                                                           | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      4300000 | PA      | $4577572.11   | 0.10%             | 2032-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| CARRIER GLOBAL CORP                                               | Carrier Global Corp                                                             | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      4583000 | PA      | $4918309.47   | 0.11%             | 2034-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND | DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     21949274 | NS      | $21949274.38  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QFNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5422267 | PA      | $4906015.74   | 0.11%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-                                    | AutoNation Finance Trust 2025-1                                                 | CUSIP: 05330QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2656000 | PA      | $2681616.06   | 0.06%             | 2029-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QLJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17138757 | PA      | $13933201.20  | 0.31%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                                  | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      8406311 | PA      | $8236226.72   | 0.19%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      6250000 | PA      | $7495124.45   | 0.17%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                           | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      1913000 | PA      | $1812643.08   | 0.04%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS TRANSDIGM INC                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-877675.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                    | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RKW3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      2055000 | PA      | $2055605.40   | 0.05%             | 2030-02-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                               | Canadian Government Bond                                                        | CUSIP: 135087Q49<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     17600000 | PA      | $13001983.17  | 0.29%             | 2028-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    196924500 | PA      | $204451478.21 | 4.62%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     27525000 | PA      | $32535584.23  | 0.73%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                       | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2703947.06   | 0.06%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                            | Treasury Corp of Victoria                                                       | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     41354000 | PA      | $26017629.76  | 0.59%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                                             | Japan Government Forty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1473600000 | PA      | $4769927.96   | 0.11%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                          | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    327934000 | PA      | $50540642.30  | 1.14%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                                                   | Invesco US CLO 2023-3 Ltd                                                       | CUSIP: 46091RAL7<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |     11113232 | PA      | $11132469.00  | 0.25%             | 2038-07-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| MERCK KGAA                                                        | Merck KGaA                                                                      | CUSIP: 000000000<br>LEI: 529900OAREIS0MOPTW25 | Long             | DBT              | CORP              | DE        |      1400000 | PA      | $1657335.33   | 0.04%             | 2054-08-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         1532 | NC      | $266440.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12930833 | PA      | $13192532.71  | 0.30%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                                                | Sweden Government Bond                                                          | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     48000000 | PA      | $5002214.17   | 0.11%             | 2035-05-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19075000 | PA      | $19206140.63  | 0.43%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XRTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9934148 | PA      | $10406985.78  | 0.24%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     17340000 | PA      | $17855930.20  | 0.40%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3133KQVG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23306295 | PA      | $23371744.12  | 0.53%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                              | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      3540000 | PA      | $2927280.80   | 0.07%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     37170000 | PA      | $37062555.65  | 0.84%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPSOL E&P CAP MARKETS                                            | Repsol E&P Capital Markets US LLC                                               | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      3423000 | PA      | $3492442.85   | 0.08%             | 2035-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2023-4                                               | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |      1465024 | PA      | $1466542.25   | 0.03%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US LONG BOND(CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           50 | NC      | $-30109.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    163000000 | PA      | $163047754.11 | 3.68%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                              | Colombian TES                                                                   | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 195440000000 | PA      | $52157606.23  | 1.18%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    105170000 | PA      | $20410759.22  | 0.46%             | 2070-05-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QDWM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29699735 | PA      | $26873063.11  | 0.61%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                             | Australia Government Bond                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     22400000 | PA      | $14921433.48  | 0.34%             | 2033-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      7835600 | PA      | $4921198.98   | 0.11%             | 2037-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                                  | SpringCastle America Funding LLC                                                | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1361553 | PA      | $1287633.13   | 0.03%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                                          | Regatta XXV Funding Ltd                                                         | CUSIP: 758978AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5775000 | PA      | $5798198.18   | 0.13%             | 2038-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                               | Republic of Austria Government Bond                                             | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      9875000 | PA      | $11527135.43  | 0.26%             | 2034-02-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QVVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14067283 | PA      | $14328099.95  | 0.32%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-76741.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                               | Province of Alberta Canada                                                      | CUSIP: 013051ES2<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |      4176000 | PA      | $2967301.21   | 0.07%             | 2054-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                                           | Ireland Government Bond                                                         | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      3950000 | PA      | $4498154.17   | 0.10%             | 2034-10-18      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      9256000 | PA      | $4979149.39   | 0.11%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FINNISH GOVERNMENT                                                | Finland Government Bond                                                         | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |      3750000 | PA      | $4417775.11   | 0.10%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATHORA HOLDING LTD                                                | Athora Holding Ltd                                                              | CUSIP: 000000000<br>LEI: 98450059DQ10TFC4B020 | Long             | DBT              | CORP              | BM        |      6300000 | PA      | $7900420.51   | 0.18%             | 2034-09-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuers L                                    | Aligned Data Centers Issuer LLC                                                 | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3914000 | PA      | $3943549.13   | 0.09%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                       | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      3853000 | PA      | $3416290.38   | 0.08%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     27750000 | PA      | $28623491.00  | 0.65%             | 2032-04-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| SUEZ                                                              | Suez SACA                                                                       | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      3400000 | PA      | $4311951.50   | 0.10%             | 2032-11-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  42127800000 | PA      | $30815545.64  | 0.70%             | 2032-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ELECTROLUX AB                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-4393.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                                | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |       980000 | PA      | $614614.40    | 0.01%             | 2051-05-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      9096000 | PA      | $10961018.37  | 0.25%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                              | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBN5<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       552000 | PA      | $567328.63    | 0.01%             | 2035-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| EXELON CORP                                                       | Exelon Corp                                                                     | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      4480000 | PA      | $4345738.03   | 0.10%             | 2053-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                            | Republic of Poland Government Bond                                              | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     11625000 | PA      | $3464793.69   | 0.08%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                            | Mosaic Solar Loan Trust 2023-2                                                  | CUSIP: 61945WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1925584 | PA      | $1856926.20   | 0.04%             | 2053-09-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                    | Ginnie Mae II Pool                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29945973 | PA      | $29401704.91  | 0.66%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                             | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBM5<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      9715000 | PA      | $9847301.30   | 0.22%             | 2034-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                                 | CUSIP: 92928QAE8<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      2326000 | PA      | $2310690.45   | 0.05%             | 2028-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| JAPAN (20 YEAR ISSUE)                                             | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1066400000 | PA      | $5267003.86   | 0.12%             | 2043-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $27776.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $89636.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                               | Dow Chemical Co/The                                                             | CUSIP: 260543DM2<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |      3842000 | PA      | $3499534.99   | 0.08%             | 2055-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Stack Infrastructure Issuer LL                                    | Stack Infrastructure Issuer LLC                                                 | CUSIP: 85236KAF9<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |      1430000 | PA      | $1433497.92   | 0.03%             | 2048-03-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3142GS5R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15884016 | PA      | $15962059.58  | 0.36%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers                                     | Retained Vantage Data Centers Issuer LLC                                        | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |      5630000 | PA      | $5618174.75   | 0.13%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                             | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     11685000 | PA      | $14002056.83  | 0.32%             | 2038-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                                    | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5470312 | PA      | $5207633.56   | 0.12%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     13500000 | PA      | $13603095.72  | 0.31%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| THAILAND GOVERNMENT BOND                                          | Thailand Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    600400000 | PA      | $20398873.29  | 0.46%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL                                           | Severn Trent Utilities Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |      1657000 | PA      | $2192056.37   | 0.05%             | 2036-04-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    167625000 | PA      | $169789065.57 | 3.84%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS & CO. LLC                                           | CDS VIRGIN MEDIA FINANCE PLC                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |            1 | NC      | $412640.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    606600000 | PA      | $2042400.05   | 0.05%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | Citigroup Inc                                                                   | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       670000 | PA      | $694151.71    | 0.02%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                                 | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6860000 | PA      | $6852425.19   | 0.15%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QDKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1755993 | PA      | $1586425.00   | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                           | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    190500000 | PA      | $9850077.37   | 0.22%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| COLT Funding LLC                                                  | COLT 2023-2 Mortgage Loan Trust                                                 | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |      1687421 | PA      | $1697176.56   | 0.04%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                    | Ginnie Mae II Pool                                                              | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4202896 | PA      | $4118781.92   | 0.09%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000000 | PA      | $59812500.00  | 1.35%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2023-5                                               | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |      1598530 | PA      | $1605379.19   | 0.04%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                             | Cellnex Finance Co SA                                                           | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      1600000 | PA      | $1682099.47   | 0.04%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-165896.36   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                                              | Singapore Government Bond                                                       | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      5615000 | PA      | $4773355.40   | 0.11%             | 2033-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3133USKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7597965 | PA      | $6482278.83   | 0.15%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | Global Payments Inc                                                             | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      9090000 | PA      | $9100786.10   | 0.21%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                                                | Denmark Government Bond                                                         | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     14250000 | PA      | $2640753.26   | 0.06%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    492050000 | PA      | $68970043.98  | 1.56%             | 2035-02-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      8862000 | PA      | $4586231.91   | 0.10%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                               | Dow Chemical Co/The                                                             | CUSIP: 260543DK6<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |      3988000 | PA      | $3469982.53   | 0.08%             | 2054-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    182502800 | PA      | $181825543.06 | 4.11%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                     | P3 Group Sarl                                                                   | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |      2169000 | PA      | $2566984.69   | 0.06%             | 2032-04-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                             | Province of Ontario Canada                                                      | CUSIP: 68333ZBF3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     21393000 | PA      | $15623880.46  | 0.35%             | 2055-12-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | THB/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-282018.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                     | New Residential Mortgage Loan Trust 2022-NQM1                                   | CUSIP: 64830JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4207604 | PA      | $3768090.58   | 0.09%             | 2061-04-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                 | Store Capital LLC                                                               | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |      1740000 | PA      | $1774735.46   | 0.04%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                                             | Japan Government Forty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  11519900000 | PA      | $53535970.00  | 1.21%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                                   | WEA Finance LLC                                                                 | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      5510000 | PA      | $5425788.85   | 0.12%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     10116000 | PA      | $6182350.74   | 0.14%             | 2036-02-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    113800000 | PA      | $70567395.29  | 1.59%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                               | Malaysia Government Bond                                                        | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     84800000 | PA      | $22576054.28  | 0.51%             | 2033-11-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 31427QZW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21219108 | PA      | $21554565.07  | 0.49%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ent Auto Receivables Trust                                        | Ent Auto Receivables Trust 2023-1                                               | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1276636 | PA      | $1284311.00   | 0.03%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                          | Aptiv Swiss Holdings Ltd                                                        | CUSIP: 03837EAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      7600000 | PA      | $8865847.96   | 0.20%             | 2036-06-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-73519.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                             | Foundry JV Holdco LLC                                                           | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      8370000 | PA      | $8884520.31   | 0.20%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FIN                                            | Northumbrian Water Finance PLC                                                  | CUSIP: 000000000<br>LEI: 213800JTFA6F3S7XX781 | Long             | DBT              | CORP              | GB        |      8640000 | PA      | $12281454.42  | 0.28%             | 2034-10-28      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                | A&D Mortgage Trust 2023-NQM2                                                    | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2396688 | PA      | $2399505.93   | 0.05%             | 2068-05-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                          | Ford Motor Credit Co LLC                                                        | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       840000 | PA      | $902595.93    | 0.02%             | 2033-11-07      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     38400000 | PA      | $38217000.19  | 0.86%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                               | Nigeria Government International Bond                                           | CUSIP: 65412AFF4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      8370000 | PA      | $8999534.48   | 0.20%             | 2036-01-13      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                                | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      3010000 | PA      | $2683582.20   | 0.06%             | 2036-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                                      | Sunnova Hestia I Issuer LLC                                                     | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       732336 | PA      | $733777.42    | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                | Province of Quebec Canada                                                       | CUSIP: 74814ZFU2<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      8416000 | PA      | $5654487.55   | 0.13%             | 2057-12-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     35850000 | PA      | $35236628.73  | 0.80%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $58736.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                                | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |       726000 | PA      | $739171.61    | 0.02%             | 2034-03-03      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I                                    | CyrusOne Data Centers Issuer I LLC                                              | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1133887 | PA      | $1119201.13   | 0.03%             | 2048-04-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  11350200000 | PA      | $7753042.82   | 0.18%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9190000000 | PA      | $46147770.40  | 1.04%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                                | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      1500000 | PA      | $809604.98    | 0.02%             | 2050-12-08      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                                             | Japan Government Twenty Year Bond                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3756900000 | PA      | $19626662.00  | 0.44%             | 2042-12-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                 | Hellenic Republic Government Bond                                               | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |      3438000 | PA      | $4326703.60   | 0.10%             | 2038-07-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                       | Oracle Corp                                                                     | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      3916000 | PA      | $3456237.09   | 0.08%             | 2065-09-26      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     13250000 | PA      | $18168731.95  | 0.41%             | 2028-06-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Auto Securitization Trust                                    | Ford Auto Securitization Trust II Series 2022-A Asset-Backed Notes              | CUSIP: 345214AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     10988497 | PA      | $8142799.95   | 0.18%             | 2028-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-95719.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                                       | Merchants Fleet Funding LLC                                                     | CUSIP: 588926AL9<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |      8687000 | PA      | $8720648.23   | 0.20%             | 2039-01-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                            | New Zealand Government Bond                                                     | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      9220000 | PA      | $5293390.17   | 0.12%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XRAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10295225 | PA      | $10535119.26  | 0.24%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                     | P3 Group Sarl                                                                   | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |      6890000 | PA      | $7974471.98   | 0.18%             | 2033-04-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                              | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      5325000 | PA      | $4889342.74   | 0.11%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Octagon 61 Ltd                                                    | Octagon 61 Ltd                                                                  | CUSIP: 675947AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7900000 | PA      | $7927966.00   | 0.18%             | 2038-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                                    | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       500000 | PA      | $487724.15    | 0.01%             | 2036-10-14      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7130000 | PA      | $4505690.70   | 0.10%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5863363 | PA      | $5094186.11   | 0.12%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner                                     | PenFed Auto Receivables Owner Trust 2025-A                                      | CUSIP: 706916AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1513000 | PA      | $1517729.94   | 0.03%             | 2030-07-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-31768.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140W0P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12363280 | PA      | $12821072.64  | 0.29%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     44825000 | PA      | $45305643.23  | 1.02%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| BELGIUM KINGDOM                                                   | Kingdom of Belgium Government Bond                                              | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      6825000 | PA      | $6739025.75   | 0.15%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XNT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3785642 | PA      | $3989013.61   | 0.09%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                             | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   8610000000 | PA      | $5804472.61   | 0.13%             | 2052-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     17503000 | PA      | $10947667.70  | 0.25%             | 2035-08-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables                                     | Exeter Automobile Receivables Trust 2024-5                                      | CUSIP: 30165BAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       720000 | PA      | $723384.72    | 0.02%             | 2030-01-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                          | Ford Motor Credit Co LLC                                                        | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1716211.65   | 0.04%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: —       |
| TIF Funding III LLC                                               | TIF Funding III LLC                                                             | CUSIP: 88655AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6857912 | PA      | $6900125.69   | 0.16%             | 2049-04-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | Citigroup Inc                                                                   | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      7750000 | PA      | $8942074.47   | 0.20%             | 2034-10-22      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | COP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-8574.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1000000 | PA      | $984824.22    | 0.02%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 31427MVH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8324489 | PA      | $8370448.55   | 0.19%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                            | Treasury Corp of Victoria                                                       | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      8814000 | PA      | $4382577.62   | 0.10%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DVLF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15311012 | PA      | $13234219.02  | 0.30%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                    | Ginnie Mae II Pool                                                              | CUSIP: 3622AAQ72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4854791 | PA      | $4628629.80   | 0.10%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                                  | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     18548870 | PA      | $21510247.02  | 0.49%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     11600000 | PA      | $15777540.16  | 0.36%             | 2029-07-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                                          | Take-Two Interactive Software Inc                                               | CUSIP: 874054AN9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |      1590000 | PA      | $1664324.69   | 0.04%             | 2034-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                             | Province of Ontario Canada                                                      | CUSIP: 68333ZBA4<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     11261000 | PA      | $7626434.41   | 0.17%             | 2054-12-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      4848000 | PA      | $3128903.36   | 0.07%             | 2035-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | SEK/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $18309.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I                                    | CyrusOne Data Centers Issuer I LLC                                              | CUSIP: 23284BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5979000 | PA      | $6032222.07   | 0.14%             | 2048-11-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| RLGH FINANCE BERMUDA LTD                                          | RLGH Finance Bermuda Ltd                                                        | CUSIP: 000000000<br>LEI: 549300JARQYXR76TRX40 | Long             | DBT              | CORP              | BM        |      7045000 | PA      | $7999391.72   | 0.18%             | 2031-07-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19300000 | PA      | $19746689.43  | 0.45%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                                  | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     14551000 | PA      | $12577534.75  | 0.28%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                                           | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     16975000 | PA      | $20122846.78  | 0.45%             | 2034-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                               | Province of Alberta Canada                                                      | CUSIP: 013051ED5<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |      4172000 | PA      | $2368728.19   | 0.05%             | 2050-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DUAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17281164 | PA      | $17706720.47  | 0.40%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                      | AES Corp/The                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      6528000 | PA      | $6698456.00   | 0.15%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25600000 | PA      | $26288000.00  | 0.59%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                             | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     15710000 | PA      | $20924889.53  | 0.47%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/KRW FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-470661.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $720445.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                            | Verizon Communications Inc                                                      | CUSIP: 92343VHK3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      4543000 | PA      | $4488590.31   | 0.10%             | 2065-11-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QVMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20439234 | PA      | $20537632.53  | 0.46%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                  | Peruvian Government International Bond                                          | CUSIP: 715638EA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      8000000 | PA      | $2600452.35   | 0.06%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                           | Eni SpA                                                                         | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      4609000 | PA      | $4752067.32   | 0.11%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                          | OBX 2025-NQM18 Trust                                                            | CUSIP: 673918AC2<br>LEI: 254900JLM1WC0WGYCA96 | Long             | ABS-MBS          | CORP              | US        |      5846065 | PA      | $5868922.65   | 0.13%             | 2065-09-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $77355.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | DKK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-21665.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $690952.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $404644.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                             | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-85734.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                            | CAN 10YR BOND                                                                   | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          435 | NC      | $-462138.68   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | BRL/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-406661.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-3318212.54  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS ELECTROLUX AB                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-8815.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-115416.05   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | AUD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $205.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $31152.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $904179.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-160904.76   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/NZD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-21253.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-16397.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | SEK/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $21642.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | MYR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-357963.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1243141.14  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | NOK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-155735.93   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/SEK FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $42458.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $104395.37    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $132810.80    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1227047.36  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                             | CDS YUM! BRANDS INC                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-143769.68   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2761 | NC      | $1396844.63   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -64 | NC      | $-1621.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-153748.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | KRW/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2575949.09  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CDS TEVA PHARMACEUTICAL INDUSTRIES LIMITED                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-18023.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS ELECTROLUX AB                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-8617.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4758.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                             | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-150269.37   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/PLN FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-39769.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-511477.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | NZD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $8650.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                            | AUST 3YR BOND                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          593 | NC      | $21638.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $637542.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1147950.91   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BTP                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          527 | NC      | $-123803.01   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-3663652.77  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           94 | NC      | $-5999.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $12624.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2997 | NC      | $4549805.87   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-SCHATZ                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         1866 | NC      | $-247824.43   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-52363.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $2103069.58   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-82382.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                               | SWOP CDS CDX.NA.IG.45.V1                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              | CORP              | US        |   -423850000 | NC      | $-70148.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.XO.44.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-1105763.99  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $2051.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |            1 | NC      | $18688.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1127755.48   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                             | SEK/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2158606.45  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                             | CDS YUM! BRANDS INC                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-95725.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS UNICREDIT SPA                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-138724.18   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1204601.95   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2927.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-49282.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-11538.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | PEN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5981.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $201770.94    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |            1 | NC      | $141.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $25183.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-21

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

**Signature:** James Windels

**Name of Signer:** James Windels

**Title:** Treasurer