# EDGAR Filing Document

**Accession Number:** 0000835597
**File Stem:** 0002048251-26-004546
**Filing Date:** 2026-5
**Character Count:** 258903
**Document Hash:** 99aab1ee607f9fd22345846da4317b9c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002048251-26-004546.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0002048251-26-004546

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI INSTITUTIONAL INTERNATIONAL TRUST
- **CENTRAL INDEX KEY:** 0000835597

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05601
- **FILM NUMBER:** 261041942

**BUSINESS ADDRESS:**
- **STREET 1:** SEI INVESTMENTS ATTN: CAREN ROSCH
- **STREET 2:** 1FREEDOM CIRCLE DRIVE
- **CITY:** OAKS
- **STATE:** PA
- **ZIP:** 19456
- **BUSINESS PHONE:** 610 676-3097

**MAIL ADDRESS:**
- **STREET 1:** SEI INVESTMENTS ATTN: CAREN ROSCH
- **STREET 2:** 1FREEDOM CIRCLE DRIVE
- **CITY:** OAKS
- **STATE:** PA
- **ZIP:** 19456

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SEI INTERNATIONAL TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SEI WEALTH MANAGEMENT TRUST
- **DATE OF NAME CHANGE:** 19900129

## Series and Classes Contracts Data

### SIT INTERNATIONAL FIXED INCOME FUND (Series ID: S000006419)

| Class ID   | Class Name                                                                            | Ticker Symbol   |
|:---|:---|:---|
| C000017608 | SIT INTERNATIONAL FIXED INCOME FUND - CLASS F, effective 1-31-2017 (formerly Class A) | SEFIX           |
| C000147408 | Class Y                                                                               | SIFIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SEI INSTITUTIONAL INTERNATIONAL TRUST

- **b. Investment Company Act file number:** 811-05601

- **c. CIK number of Registrant:** 0000835597

- **d. LEI of Registrant:** E8Z427H460ISEID6A824

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

  - **Street Address 1:** ONE FREEDOM VALLEY DRIVE

  - **City:** OAKS

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19456

  - **Telephone number:** 8003425734

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

- **a. Name of Series:** SIT International Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000006419

- **c. LEI of Series:** LBQB1OG7EE0H97712G55

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**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:** $420253903.23

**Total Liabilities:** $31818225.32

**Net Assets:** $388435677.91

**Cash Not Reported:** $26554492.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -203.86989041 | **1-Year:** -4708.54511699 | **5-Year:** -33354.68740774 | **10-Year:** -51525.54409177 | **30-Year:** -12610.49340981

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

- **3-Month:** -9.32191181 | **1-Year:** -593.13882455 | **5-Year:** -1312.23377529 | **10-Year:** -746.12897933 | **30-Year:** -236.66580411

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000147408 | -2.41%               | 1.22%                | 0.44%                |
| Class ID C000017608 | -2.43%               | 1.23%                | 0.34%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1220639.32             | $-15736397.96                              |
| Month 2  | $-100892583.87           | $-2475295.63                               |
| Month 3  | $-786655.51              | $6681334.00                                |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate ex-USD Index (USD Hedged 100%)

- **Index Identifier:** LGAXUSDUH

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-18331.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/CZK SETTLE 2026-06-01                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $159666.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-36558.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | MEX BONOS DESARR FIX RT 7.750000% 11/13/2042                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    33463000 | PA      | $1539188.57   | 0.40%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Aktiengesellschaft                        | DEUTSCHE BANK AG 5.000000% 09/05/2030                                          | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | NUSS              | DE        |      300000 | PA      | $357994.47    | 0.09%             | 2030-09-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                               | AUSTRALIAN GOVERNMENT 2.250000% 05/21/2028                                     | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     2233000 | PA      | $1454989.75   | 0.37%             | 2028-05-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| INDIA RUPEE                                             | FX Forward Contract: INR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | IN        |           1 | NC      | $-3626.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UNITED KINGDOM GILT 3.750000% 01/29/2038                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      443304 | PA      | $514268.83    | 0.13%             | 2038-01-29      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/JPY SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $567.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: EUR/USD SETTLE 2026-06-08                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | XX        |           1 | NC      | $-192.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Swisscom Finance B.V.                                   | SWISSCOM FINANCE BV MTN 3.500000% 11/29/2031                                   | CUSIP: N/A<br>LEI: 549300L41E8X8K71RV25       | Long             | DBT              | NUSS              | CH        |      460000 | PA      | $528764.95    | 0.14%             | 2031-11-29      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                           | REF: KWCDC INDEX BRK: CITIGROUP                                                | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DIR              |  | CN        |    28220000 | NC      | $-26191.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MONDI FINANCE PLC                                       | MONDI FINANCE PLC MTN 3.750000% 05/18/2033                                     | CUSIP: N/A<br>LEI: 213800BJV32JT6IRCS96       | Long             | DBT              | NUSS              | AT        |      400000 | PA      | $446596.96    | 0.11%             | 2033-05-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                      | ORACLE CORP 5.950000% 09/26/2055                                               | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      159000 | PA      | $133762.04    | 0.03%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL INTERNATIONAL SA                  | TOTALENERGIES CAPITAL INTERNATIONAL SA MTN 3.499000% 03/03/2037                | CUSIP: N/A<br>LEI: 549300U37G2I8G4RUG09       | Long             | DBT              | NUSS              | FR        |      500000 | PA      | $546325.73    | 0.14%             | 2037-03-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Repubblica Italiana                                     | ITALY BUONI POLIENNALI DEL TESORO 144A 3.650000% 08/01/2035                    | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |      620000 | PA      | $704518.31    | 0.18%             | 2035-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BROKER - BANCO SANTANDER SA                             | BROKER - BANCO SANTANDER SA PAY - 13.705%                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | BR        |     5533418 | NC      | $-1145.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/SEK SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $2374.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH STERLING POUND                                  | FX Forward Contract: GBP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |           1 | NC      | $-46672.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP INC.                            | AMERICAN NATIONAL GROUP INC 6.000000% 07/15/2035                               | CUSIP: 025676AQ0<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |      210000 | PA      | $204726.09    | 0.05%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Koninkrijk der Nederlanden                              | NETHERLANDS GOVERNMENT BOND 144A 3.750000% 01/15/2042                          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |      664059 | PA      | $796953.44    | 0.21%             | 2042-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $661025.94    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | MEX BONOS DESARR FIX RT 8.500000% 11/18/2038                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     5717500 | PA      | $291200.64    | 0.07%             | 2038-11-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government of the Republic of Korea                     | KOREA TREASURY BOND 3.125000% 09/10/2027                                       | CUSIP: N/A<br>LEI: 549300O0QCVSQGPGDT58       | Long             | DBT              | NUSS              | KR        |  1341070000 | PA      | $873640.01    | 0.22%             | 2027-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| People's Republic of China                              | CHINA GOVERNMENT BOND 2.390000% 03/15/2029                                     | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |    40000000 | PA      | $5954749.60   | 1.53%             | 2029-03-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                          | VAR ENERGI ASA 7.862000% 11/15/2083                                            | CUSIP: N/A<br>LEI: 549300LIVN3FFOJN2K47       | Long             | DBT              | NUSS              | NO        |      410000 | PA      | $509515.41    | 0.13%             | 2083-11-15      | Fixed         | 7.86%                 | No            |                  2 | On Loan: No      |
| Canada                                                  | CANADIAN GOVERNMENT 2.500000% 12/01/2032                                       | CUSIP: 135087P32<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     1351000 | PA      | $925065.44    | 0.24%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Canada                                                  | CANADIAN GOVERNMENT 3.000000% 06/01/2034                                       | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      607000 | PA      | $423984.42    | 0.11%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $245.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARIAN FORINT                                        | FX Forward Contract: HUF/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | HU        |           1 | NC      | $14224.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                          | ING GROEP NV MTN 3.500000% 08/17/2036                                          | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | NUSS              | NL        |      900000 | PA      | $984187.71    | 0.25%             | 2036-08-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $2216.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 7.500000% 06/15/2035                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  2112000000 | PA      | $129216.61    | 0.03%             | 2035-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/GBP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $6756.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROFINS SCIENTIFIC SE                                  | EUROFINS SCIENTIFIC SE 4.750000% 09/06/2030                                    | CUSIP: N/A<br>LEI: 529900JEHFM47DYY3S57       | Long             | DBT              | NUSS              | LU        |      660000 | PA      | $786548.47    | 0.20%             | 2030-09-06      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                       | Credit Default Swap                                                            | CUSIP: CDS012505<br>LEI: 213800IQAOC5HG62T347 | N/A              | DCR              |  | US        |     1200000 | NC      | $5293.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                   | BANCO SANTANDER SA MTN 5.750000% 08/23/2033                                    | CUSIP: N/A<br>LEI: 5493006QMFDDMYWIAM13       | Long             | DBT              | NUSS              | ES        |      300000 | PA      | $357858.09    | 0.09%             | 2033-08-23      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN DOLLAR                                         | FX Forward Contract: CAD/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CA        |           1 | NC      | $-1088.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN DOLLAR                                       | FX Forward Contract: AUD/USD SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | AU        |           1 | NC      | $-2134.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 2.400000% 03/20/2055                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   167300000 | PA      | $812723.19    | 0.21%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL SA                   | BANQUE FEDERATIVE DU CREDIT MUTUEL SA MTN 3.750000% 02/03/2034                 | CUSIP: N/A<br>LEI: VBHFXSYT7OG62HNT8T76       | Long             | DBT              | NUSS              | FR        |      300000 | PA      | $341565.53    | 0.09%             | 2034-02-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FLUVIUS SYSTEM OPERATOR CV                              | FLUVIUS SYSTEM OPERATOR CV MTN 3.875000% 05/02/2034                            | CUSIP: N/A<br>LEI: 549300WSQWO0M3PK2J78       | Long             | DBT              | NUSS              | BE        |      400000 | PA      | $457774.28    | 0.12%             | 2034-05-02      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BROKER - GOLDMAN SACHS INTERNATIONAL                    | BROKER - GOLDMAN SACHS INTERNATIONAL REC - 2.7023%                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SE        |     9500000 | NC      | $-6008.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICAN PESO                                            | FX Forward Contract: MXN/USD SETTLE 2026-04-27                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | MX        |           1 | NC      | $-1991.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY MTN 3.981000% 01/23/2037                                        | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | NUSS              | US        |      115000 | PA      | $129050.57    | 0.03%             | 2037-01-23      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                               | AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041                                     | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     1645000 | PA      | $842470.02    | 0.22%             | 2041-05-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CTP N.V.                                                | CTP NV 4.250000% 03/10/2035                                                    | CUSIP: N/A<br>LEI: 3157000YTVO4TN65UM14       | Long             | DBT              | NUSS              | NL        |      160000 | PA      | $177409.26    | 0.05%             | 2035-03-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Province of Ontario, Canada                             | ONTARIO (PROVINCE OF) 4.650000% 06/02/2041                                     | CUSIP: 683234B98<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |      540000 | PA      | $396288.92    | 0.10%             | 2041-06-02      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC.                                    | GLOBAL PAYMENTS INC 4.875000% 03/17/2031                                       | CUSIP: 37940XAS1<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | NUSS              | US        |      359000 | PA      | $420849.10    | 0.11%             | 2031-03-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/HUF SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-23304.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/MXN SETTLE 2026-04-27                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $129986.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SYENSQO NV                                              | SYENSQO SA 4.000000% 05/28/2035                                                | CUSIP: N/A<br>LEI: 549300060XNJ90PLNS10       | Long             | DBT              | NUSS              | BE        |      200000 | PA      | $223384.23    | 0.06%             | 2035-05-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS INC. (PAS)                              | FX Forward Contract: CAD/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CA        |           1 | NC      | $-3282.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | BRK: GOLDMAN PAY:EUR-EURIBOR                                                   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              |  | XX        |    38000000 | NC      | $288637.11    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| US 10YR ULTRA FUT JUN26                                 | US 10YR ULTRA FUT JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -46 | NC      | $-5221718.75  | -1.34%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/ZAR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $47311.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | INTESA SANPAOLO SPA 9.125000% MATURITY: PERPETUAL                              | CUSIP: N/A<br>LEI: 2W8N8UU78PMDQKZENC08       | Long             | DBT              | NUSS              | IT        |      200000 | PA      | $256942.04    | 0.07%             | 2175-03-07      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| VERTIV HOLDINGS CO                                      | VERTIV HOLDINGS CO 5.950000% 03/15/2066                                        | CUSIP: 92537NAD0<br>LEI: 549300KTTIRAOGXCRV69 | Long             | DBT              | CORP              | US        |      140000 | PA      | $133994.68    | 0.03%             | 2066-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Malaysia                                                | MALAYSIA GOVERNMENT 3.519000% 04/20/2028                                       | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     4422000 | PA      | $1098367.54   | 0.28%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Government of the Republic of Korea                     | KOREA TREASURY BOND 1.875000% 06/10/2029                                       | CUSIP: N/A<br>LEI: 549300O0QCVSQGPGDT58       | Long             | DBT              | NUSS              | KR        |   412770000 | PA      | $255267.21    | 0.07%             | 2029-06-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: THB/USD SETTLE 2026-06-02                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TH        |           1 | NC      | $-139413.91   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CNY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $2129.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                                  | CANADIAN GOVERNMENT 2.750000% 06/01/2033                                       | CUSIP: 135087Q23<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      172000 | PA      | $119067.06    | 0.03%             | 2033-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BROKER - NOMURA INTERNATIONAL PLC                       | BROKER - NOMURA INTERNATIONAL PLC PAY - CHINA FIXING REPO RATE 7 DAYS          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CN        |    15000000 | NC      | $-573.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundeskanzleramt Oesterreich                            | REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 4.150000% 03/15/2037                  | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |      692000 | PA      | $852544.96    | 0.22%             | 2037-03-15      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/GBP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $5963.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Reino de Espana                                         | BONOS Y OBLIG DEL ESTADO 3.000000% 01/31/2033                                  | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     9000000 | PA      | $10250972.21  | 2.64%             | 2033-01-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (20 YEAR ISSUE) 0.200000% 06/20/2036                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    71450000 | PA      | $360366.87    | 0.09%             | 2036-06-20      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-675.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | LONG GILT FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          26 | NC      | $3009995.78   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| CaixaBank, S.A.                                         | CAIXABANK SA MTN 5.125000% 07/19/2034                                          | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | NUSS              | ES        |      200000 | PA      | $247320.47    | 0.06%             | 2034-07-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AMCOR UK FINANCE PLC                                    | AMCOR UK FINANCE PLC 3.950000% 05/29/2032                                      | CUSIP: 0234EVAB7<br>LEI: 549300DEUV6BE727FP17 | Long             | DBT              | NUSS              | AU        |      650000 | PA      | $737791.36    | 0.19%             | 2032-05-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Republica de Chile                                      | REPUBLIC OF CHILE 3.875000% 04/14/2036                                         | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |     1592000 | PA      | $1772225.83   | 0.46%             | 2036-04-14      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/JPY SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $3540.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/SEK SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $15441.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                         | QUEENSLAND TREASURY CORP 2.000000% 08/22/2033                                  | CUSIP: N/A<br>LEI: 98INKCEEHOU5YJS0HQ88       | Long             | DBT              | NUSS              | AU        |      451000 | PA      | $245659.66    | 0.06%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK Aktiengesellschaft.                         | COMMERZBANK AG MTN 7.875000% MATURITY: PERPETUAL                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | NUSS              | DE        |      200000 | PA      | $249944.92    | 0.06%             | 2174-04-09      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CaixaBank, S.A.                                         | CAIXABANK SA MTN 5.000000% 07/19/2029                                          | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | NUSS              | ES        |      200000 | PA      | $238426.74    | 0.06%             | 2029-07-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA 2.125000% 10/13/2046                                                   | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | NUSS              | FR        |     1400000 | PA      | $1407497.32   | 0.36%             | 2046-10-13      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| EURO-BOBL FUTURE  JUN26                                 | EURO-BOBL FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          34 | NC      | $4521972.58   | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $29169.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY 0.406000% 10/29/2027                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | NUSS              | US        |      370000 | PA      | $420471.83    | 0.11%             | 2027-10-29      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-20                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $14096.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/COP SETTLE 2026-04-20                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $-280.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    24900000 | PA      | $151420.61    | 0.04%             | 2033-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Koninkrijk der Nederlanden                              | NETHERLANDS GOVERNMENT BOND 144A 4.000000% 01/15/2037                          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |      236000 | PA      | $291515.34    | 0.08%             | 2037-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA                                 | ANHEUSER-BUSCH INBEV SA/NV MTN 3.875000% 05/19/2038                            | CUSIP: N/A<br>LEI: 5493008H3828EMEXB082       | Long             | DBT              | NUSS              | BE        |      340000 | PA      | $380652.00    | 0.10%             | 2038-05-19      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BECTON, DICKINSON AND COMPANY                           | BECTON DICKINSON & CO 3.828000% 06/07/2032                                     | CUSIP: 075887CV9<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | NUSS              | US        |      291000 | PA      | $334148.53    | 0.09%             | 2032-06-07      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY 3.790000% 03/21/2030                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | NUSS              | US        |      136000 | PA      | $157574.08    | 0.04%             | 2030-03-21      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-1033.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                                  | CAN 10YR BOND FUT JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          67 | NC      | $5761649.53   | 1.48%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/CAD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $4554.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $2395.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Statsministerens Kontor                                 | NORWAY GOVERNMENT BOND 144A 2.000000% 04/26/2028                               | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |     2624000 | PA      | $256626.59    | 0.07%             | 2028-04-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                             | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: 74KKBLHM4AWY05GPNY79       | N/A              | DCR              |  | XX        |      666000 | NC      | $-48119.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundeskanzleramt Oesterreich                            | REPUBLIC OF AUSTRIA 3.200000% 07/15/2039                                       | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |      404000 | PA      | $449345.39    | 0.12%             | 2039-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| KOREAN WON                                              | FX Forward Contract: KRW/USD SETTLE 2026-05-26                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | KR        |           1 | NC      | $-203874.74   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Royaume de Belgique                                     | KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047                   | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |       41000 | PA      | $30172.87     | 0.01%             | 2047-06-22      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Province of Ontario, Canada                             | ONTARIO (PROVINCE OF) 4.700000% 06/02/2037                                     | CUSIP: 683234YD4<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |      570000 | PA      | $429365.55    | 0.11%             | 2037-06-02      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Royaume de Belgique                                     | BELGIUM KINGDOM 3.750000% 06/22/2045                                           | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |      400933 | PA      | $438848.17    | 0.11%             | 2045-06-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| New South Wales Treasury Corporation                    | NEW S WALES TREASURY CRP 4.750000% 02/20/2035                                  | CUSIP: N/A<br>LEI: TC7LRO17HPNPLTAV0H77       | Long             | DBT              | NUSS              | AU        |      878000 | PA      | $570365.96    | 0.15%             | 2035-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/JPY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $68206.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA RUPIAH                                        | FX Forward Contract: IDR/USD SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ID        |           1 | NC      | $-402.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERUVIAN NEW SOL                                        | FX Forward Contract: PEN/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | PE        |           1 | NC      | $-38180.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIAN LEU                                            | FX Forward Contract: KZT/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | RO        |           1 | NC      | $63483.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPANESE YEN                                            | FX Forward Contract: JPY/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | JP        |           1 | NC      | $-12064.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-516.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CNY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-25316.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UNITED KINGDOM GILT 0.500000% 01/31/2029                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      350619 | PA      | $416154.88    | 0.11%             | 2029-01-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/IDR SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $4078.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-16539.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| USD-SOFR-OIS 3.19  COMPOUND                             | USD-SOFR-OIS 3.19  COMPOUND CALL OPTION                                        | CUSIP: 307932355<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7500000 | NC      | $14416.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/NZD SETTLE 2026-06-15                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $16287.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA                                 | ANHEUSER-BUSCH INBEV SA/NV MTN 3.950000% 03/22/2044                            | CUSIP: N/A<br>LEI: 5493008H3828EMEXB082       | Long             | DBT              | NUSS              | BE        |      320000 | PA      | $343648.22    | 0.09%             | 2044-03-22      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Canada                                                  | CANADIAN GOVERNMENT 1.500000% 06/01/2026                                       | CUSIP: N/A<br>LEI: 4BFD7AQU0A75QLAHK410       | Long             | DBT              | NUSS              | CA        |      573000 | PA      | $410036.51    | 0.11%             | 2026-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | BARCLAYS PLC 4.347000% 05/08/2035                                              | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | NUSS              | GB        |      100000 | PA      | $115772.90    | 0.03%             | 2035-05-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Volkswagen International Finance N.V.                   | VOLKSWAGEN INTERNATIONAL FINANCE NV 3.875000% MATURITY: PERPETUAL              | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | DBT              | NUSS              | DE        |      200000 | PA      | $221660.40    | 0.06%             | 2174-06-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC.                                  | GILDAN ACTIVEWEAR INC 144A 4.700000% 10/07/2030                                | CUSIP: 375916AF0<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | NUSS              | CA        |      290000 | PA      | $286943.30    | 0.07%             | 2030-10-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $651.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - DEUTSCHE BANK AG LONDON                        | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | XX        |      744000 | NC      | $-53754.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPANESE YEN                                            | FX Forward Contract: JPY/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | JP        |           1 | NC      | $-5194.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-11108.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $54471.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 2.300000% 12/20/2054                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   146350000 | PA      | $695477.57    | 0.18%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| EURO-BUXL 30Y BND JUN26                                 | EURO-BUXL 30Y BND JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -26 | NC      | $-3303099.44  | -0.85%            |  |  |  | No            |                  1 | On Loan: No      |
| MOEVE FINANCE SAU                                       | CEPSA FINANCE SA MTN 4.125000% 04/11/2031                                      | CUSIP: N/A<br>LEI: 959800QEUH8V5SPPCB45       | Long             | DBT              | NUSS              | ES        |      300000 | PA      | $346290.61    | 0.09%             | 2031-04-11      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Corporacion Nacional del Cobre de Chile                 | CORP NACIONAL DEL COBRE DE CHILE 144A 5.950000% 01/08/2034                     | CUSIP: 21987BBG2<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |      295000 | PA      | $301626.88    | 0.08%             | 2034-01-08      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Province of Quebec                                      | PROVINCE OF QUEBEC 3.500000% 12/01/2048                                        | CUSIP: 74814ZEW9<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      635000 | PA      | $374224.79    | 0.10%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/CAD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $111485.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EURO-BUND FUTURE  JUN26                                 | EURO-BUND FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -25 | NC      | $-3611879.25  | -0.93%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: NZD/USD SETTLE 2026-05-26                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | NZ        |           1 | NC      | $-2317.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand                                             | NEW ZEALAND GOVERNMENT 2.750000% 04/15/2037                                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |        8000 | PA      | $3754.48      | 0.00%             | 2037-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                        | AMAZON.COM INC 4.050000% 03/16/2039                                            | CUSIP: 023135DR4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | NUSS              | US        |      321000 | PA      | $363007.49    | 0.09%             | 2039-03-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Malaysia                                                | MALAYSIA GOVERNMENT 3.733000% 06/15/2028                                       | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     1988000 | PA      | $496063.36    | 0.13%             | 2028-06-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Medtronic Global Holdings S.C.A.                        | MEDTRONIC GLOBAL HOLDINGS SCA 1.125000% 03/07/2027                             | CUSIP: 58507LAH2<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | NUSS              | US        |      400000 | PA      | $453623.01    | 0.12%             | 2027-03-07      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CLP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $17893.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                           | REF: CNRR007 INDEX BRK: CITIGROUP                                              | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DIR              |  | CN        |    98000000 | NC      | $212624.42    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ASTM S.P.A.                                             | ASTM SPA MTN 2.375000% 11/25/2033                                              | CUSIP: N/A<br>LEI: 8156003F2286CFA55E20       | Long             | DBT              | NUSS              | IT        |      620000 | PA      | $627171.91    | 0.16%             | 2033-11-25      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                              | BUNDESREPUB. DEUTSCHLAND 4.000000% 01/04/2037                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |      856806 | PA      | $1071032.18   | 0.28%             | 2037-01-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | UNITED MEXICAN STATES 4.875000% 05/16/2036                                     | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      400000 | PA      | $448592.82    | 0.12%             | 2036-05-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BROKER - BANCO SANTANDER SA                             | BROKER - BANCO SANTANDER SA REC - 12.845%                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | BR        |     4480000 | NC      | $-31575.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/KRW SETTLE 2026-05-26                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $78622.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMERZBANK Aktiengesellschaft.                         | COMMERZBANK AG 6.500000% MATURITY: PERPETUAL                                   | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | NUSS              | DE        |      400000 | PA      | $474180.90    | 0.12%             | 2174-04-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Volkswagen International Finance N.V.                   | VOLKSWAGEN INTERNATIONAL FINANCE NV 5.994000% MATURITY: PERPETUAL              | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | DBT              | NUSS              | DE        |      300000 | PA      | $345490.84    | 0.09%             | 2174-11-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Malaysia                                                | MALAYSIA GOVERNMENT 2.632000% 04/15/2031                                       | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |      953000 | PA      | $226407.20    | 0.06%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA S.P.A.                          | AUTOSTRADE PER L'ITALIA SPA MTN 2.250000% 01/25/2032                           | CUSIP: N/A<br>LEI: 815600149448CEB9B230       | Long             | DBT              | NUSS              | IT        |      720000 | PA      | $758101.33    | 0.20%             | 2032-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EURO-BOBL FUTURE  JUN26                                 | EURO-BOBL FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          40 | NC      | $5319967.74   | 1.37%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/INR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $17387.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/ZAR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $60137.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPANESE YEN                                            | FX Forward Contract: JPY/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | JP        |           1 | NC      | $-6409.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | INTESA SANPAOLO SPA MTN 4.875000% 05/19/2030                                   | CUSIP: N/A<br>LEI: 2W8N8UU78PMDQKZENC08       | Long             | DBT              | NUSS              | IT        |      275000 | PA      | $333059.68    | 0.09%             | 2030-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/CHF SETTLE 2026-06-01                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $219525.41    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN DOLLAR                                       | FX Forward Contract: AUD/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | AU        |           1 | NC      | $1195.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                              | COOPERATIEVE RABOBANK UA 4.375000% MATURITY: PERPETUAL                         | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | NUSS              | NL        |      200000 | PA      | $231190.23    | 0.06%             | 2174-12-29      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BROKER - MERRILL LYNCH INTERNATIONAL                    | BROKER - MERRILL LYNCH INTERNATIONAL PAY - 13.715%                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | BR        |     3929102 | NC      | $-1147.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| USD-SOFR-OIS 3.49  COMPOUND                             | USD-SOFR-OIS 3.49  COMPOUND PUT OPTION                                         | CUSIP: 307930658<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7500000 | NC      | $83677.90     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPANESE YEN                                            | FX Forward Contract: JPY/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | JP        |           1 | NC      | $-942.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CHF SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $25352.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP Capital, L.P.                                       | GLP CAPITAL LP / GLP FINANCING II INC 5.750000% 11/01/2037                     | CUSIP: 361841AW9<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      271000 | PA      | $262292.34    | 0.07%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-31895.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/AUD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-4376.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| European Union                                          | EUROPEAN UNION 3.000000% 03/04/2053                                            | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | XX        |     1805000 | PA      | $1713674.78   | 0.44%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REF - CETIP INDEX                                       | REF - CETIP INDEX BRK - MERRILL                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | BR        |     3090203 | NC      | $-15732.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    44850000 | PA      | $273813.63    | 0.07%             | 2038-09-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Koninkrijk der Nederlanden                              | NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2030                          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     1348649 | PA      | $1540247.60   | 0.40%             | 2030-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                              | BUNDESREPUB. DEUTSCHLAND 0.000000% 08/15/2030                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     2933288 | PA      | $3010130.25   | 0.77%             | 2030-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | PETROLEOS MEXICANOS 6.700000% 02/16/2032                                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     1385000 | PA      | $1355472.19   | 0.35%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UNITED KINGDOM GILT 4.750000% 10/22/2035                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     9000000 | PA      | $11713762.65  | 3.02%             | 2035-10-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                 | GA GLOBAL FUNDING TRUST MTN 4.133000% 09/16/2035                               | CUSIP: N/A<br>LEI: 54930029I8ROQ4OROZ88       | Long             | DBT              | NUSS              | US        |      320000 | PA      | $346305.42    | 0.09%             | 2035-09-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                   | FOUNDRY JV HOLDCO LLC 144A 6.200000% 01/25/2037                                | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      250000 | PA      | $258346.82    | 0.07%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| EURO-BUND FUTURE  JUN26                                 | EURO-BUND FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -25 | NC      | $-3611879.25  | -0.93%            |  |  |  | No            |                  1 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA S.P.A.                          | AUTOSTRADE PER L'ITALIA SPA MTN 4.625000% 02/28/2036                           | CUSIP: N/A<br>LEI: 815600149448CEB9B230       | Long             | DBT              | NUSS              | IT        |      136000 | PA      | $159430.01    | 0.04%             | 2036-02-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-3303.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| People's Republic of China                              | CHINA GOVERNMENT BOND 3.810000% 09/14/2050                                     | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |    12430000 | PA      | $2269485.74   | 0.58%             | 2050-09-14      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Royaume de Belgique                                     | KINGDOM OF BELGIUM GOVERNMENT BOND 144A 2.700000% 10/22/2029                   | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |      271000 | PA      | $310301.09    | 0.08%             | 2029-10-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-20                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $1302.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/SGD SETTLE 2026-06-02                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $17057.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                      | ORACLE CORP 5.700000% 02/04/2036                                               | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      290000 | PA      | $278831.61    | 0.07%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (APRIL)                                     | CUSIP: 01F052649<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     4000000 | PA      | $4018423.64   | 1.03%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                              | BUNDESREPUB. DEUTSCHLAND 0.250000% 02/15/2029                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     1500000 | PA      | $1616961.63   | 0.42%             | 2029-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| POLISH ZLOTY                                            | FX Forward Contract: PLN/USD SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | PA        |           1 | NC      | $-1994.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Aktiengesellschaft                        | DEUTSCHE BANK AG MTN 3.000000% 06/16/2029                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | NUSS              | DE        |      200000 | PA      | $227312.82    | 0.06%             | 2029-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LIMITED     | NZ LOCAL GOVT FUND AGENC 4.500000% 04/15/2027                                  | CUSIP: N/A<br>LEI: 254900ZJG39H1CAH6K02       | Long             | DBT              | NUSS              | NZ        |      803000 | PA      | $464153.03    | 0.12%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                             | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: 74KKBLHM4AWY05GPNY79       | N/A              | DCR              |  | XX        |      674000 | NC      | $-48697.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UK TSY GILT 4.250000% 06/07/2032                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     1231723 | PA      | $1600707.96   | 0.41%             | 2032-06-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New Zealand                                             | NEW ZEALAND GOVERNMENT 4.500000% 04/15/2027                                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |     2833000 | PA      | $1640231.04   | 0.42%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sartorius Finance B.V.                                  | SARTORIUS FINANCE BV 4.500000% 09/14/2032                                      | CUSIP: N/A<br>LEI: 529900JCAKTMRXK9EA58       | Long             | DBT              | NUSS              | DE        |      100000 | PA      | $117949.48    | 0.03%             | 2032-09-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 0.700000% 12/20/2051                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   241000000 | PA      | $772581.56    | 0.20%             | 2051-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CNY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-77226.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREAN WON                                              | FX Forward Contract: KRW/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | KR        |           1 | NC      | $-14981.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 5.500000% 04/15/2026                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  1716000000 | PA      | $100519.80    | 0.03%             | 2026-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-20                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $410.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORWEIGAN KRONE                                         | FX Forward Contract: NOK/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | NO        |           1 | NC      | $5928.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-24284.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PUBLIC LIMITED COMPANY                   | VODAFONE GROUP PLC MTN 4.625000% 09/12/2055                                    | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | NUSS              | GB        |      380000 | PA      | $420966.29    | 0.11%             | 2055-09-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/GBP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $2798.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC.                           | ALIMENTATION COUCHE-TARD INC 4.011000% 02/12/2036                              | CUSIP: N/A<br>LEI: 549300OSW32RVX8CCZ87       | Long             | DBT              | NUSS              | CA        |      234000 | PA      | $264163.24    | 0.07%             | 2036-02-12      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS INC. (PAS)                              | FX Forward Contract: CAD/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CA        |           1 | NC      | $-926.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INFORMA PLC                                             | INFORMA PLC MTN 3.375000% 06/09/2031                                           | CUSIP: N/A<br>LEI: 5493006VM2LKUPSEDU20       | Long             | DBT              | NUSS              | GB        |      200000 | PA      | $223502.51    | 0.06%             | 2031-06-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Konungariket Sverige                                    | POLGB I/L BOND 2.00 08/25/36                                                   | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | USGA              | PL        |    14170000 | PA      | $3701421.35   | 0.95%             | 2036-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AUST 10Y BOND FUT JUN26                                 | AUST 10Y BOND FUT JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | Short            |  |  | AU        |          -3 | NC      | $-221401.26   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN DOLLAR                                         | FX Forward Contract: CAD/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CA        |           1 | NC      | $-1365.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - BNP PARIBAS SA LONDON                          | BROKER - BNP PARIBAS SA LONDON PAY - MXN-TIIE ON-OIS COMPOUND                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | MX        |    20000000 | NC      | $-40087.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: CNY/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CN        |           1 | NC      | $2736.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/JPY SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $312696.11    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank N.A.                                          | REF: CNRR007 INDEX BRK: HSBC                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DIR              |  | CN        |    85000000 | NC      | $182301.01    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-335.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2040                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  2500000000 | PA      | $14766955.81  | 3.80%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JAB Holdings B.V.                                       | JAB HOLDINGS BV 4.750000% 06/29/2032                                           | CUSIP: N/A<br>LEI: 529900RRNKUM3INJGF98       | Long             | DBT              | NUSS              | LU        |      300000 | PA      | $358133.10    | 0.09%             | 2032-06-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LIMITED                            | APTIV SWISS HOLDINGS LTD 4.250000% 06/11/2036                                  | CUSIP: 03837EAA0<br>LEI: N/A                  | Long             | DBT              | NUSS              | JE        |      291000 | PA      | $324770.71    | 0.08%             | 2036-06-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UNITED KINGDOM GILT 4.500000% 03/07/2035                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      330000 | PA      | $423841.53    | 0.11%             | 2035-03-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bundeskanzleramt Oesterreich                            | REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 3.150000% 06/20/2044                  | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |      955000 | PA      | $1023629.28   | 0.26%             | 2044-06-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                              | BUNDESREPUB. DEUTSCHLAND 2.200000% 02/15/2034                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     2187000 | PA      | $2395303.00   | 0.62%             | 2034-02-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $8772.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DS SMITH LIMITED                                        | DS SMITH PLC MTN 4.500000% 07/27/2030                                          | CUSIP: N/A<br>LEI: 39RSBE4RCI4M15BLWH36       | Long             | DBT              | NUSS              | GB        |      440000 | PA      | $517742.55    | 0.13%             | 2030-07-27      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/NZD SETTLE 2026-06-15                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $145895.66    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/AUD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $7161.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLUXYS SA                                               | FLUXYS SA 4.000000% 11/28/2030                                                 | CUSIP: N/A<br>LEI: 529900UEWUHSPPJQ1R79       | Long             | DBT              | NUSS              | BE        |      400000 | PA      | $462580.01    | 0.12%             | 2030-11-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: CNY/USD SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CN        |           1 | NC      | $9651.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZILIAN REAL                                          | FX Forward Contract: BRL/USD SETTLE 2026-05-05                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | BR        |           1 | NC      | $19674.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UNITED KINGDOM GILT 4.375000% 07/31/2054                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      300000 | PA      | $329445.30    | 0.08%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                              | COOPERATIEVE RABOBANK UA MTN 1.250000% 05/31/2032                              | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | NUSS              | NL        |      300000 | PA      | $310272.51    | 0.08%             | 2032-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Rzeczpospolita Polska                                   | POLAND GOVERNMENT BOND 5.000000% 10/25/2034                                    | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     3978000 | PA      | $1014838.79   | 0.26%             | 2034-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY 4.813000% 10/25/2028                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | NUSS              | US        |      435000 | PA      | $511745.98    | 0.13%             | 2028-10-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Canada Housing Trust No. 1                              | CANADA HOUSING TRUST NO 1 144A 2.100000% 09/15/2029                            | CUSIP: 13509PHD8<br>LEI: 549300M44WH89JG50067 | Long             | DBT              | NUSS              | CA        |     1225000 | PA      | $850174.84    | 0.22%             | 2029-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                          | BNP PARIBAS SA MTN 4.750000% 11/13/2032                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | NUSS              | FR        |      300000 | PA      | $359327.45    | 0.09%             | 2032-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MEXICAN PESO                                            | FX Forward Contract: MXN/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | MX        |           1 | NC      | $-4279.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/ZAR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $46772.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-35249.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | MEX BONOS DESARR FIX RT 8.000000% 07/31/2053                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |       70700 | PA      | $3242.76      | 0.00%             | 2053-07-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BROKER - BNP PARIBAS SA LONDON                          | BROKER - BNP PARIBAS SA LONDON PAY - CHF-SARON-OIS COMPOUND                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CH        |      190000 | NC      | $1163.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 8.750000% 05/15/2031                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  8446000000 | PA      | $546797.06    | 0.14%             | 2031-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Statsministerens Kontor                                 | NORWAY GOVERNMENT BOND 144A 1.750000% 09/06/2029                               | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |     7731000 | PA      | $726889.73    | 0.19%             | 2029-09-06      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                             | REF: SOFR INDEX BRK: BNP PARIBAS                                               | CUSIP: N/A<br>LEI: 74KKBLHM4AWY05GPNY79       | N/A              | DIR              |  | KR        |   844300000 | NC      | $-17233.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-7917.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                              | BUNDESREPUB. DEUTSCHLAND 2.500000% 02/15/2035                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |      944000 | PA      | $1048917.89   | 0.27%             | 2035-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (10 YEAR ISSUE) 1.400000% 03/20/2035                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   800000000 | PA      | $4681375.32   | 1.21%             | 2035-03-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| HUNGARIAN FORINT                                        | FX Forward Contract: HUF/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | HU        |           1 | NC      | $-2092.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| European Union                                          | EUROPEAN UNION BILL ZERO COUPON 09/04/2026                                     | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | XX        |      722000 | PA      | $823615.74    | 0.21%             | 2026-09-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | REPUBLIC OF INDONESIA 4.100000% 03/04/2034                                     | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |      955000 | PA      | $1057039.37   | 0.27%             | 2034-03-04      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   260950000 | PA      | $1540800.75   | 0.40%             | 2034-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| NORWEIGAN KRONE                                         | FX Forward Contract: NOK/USD SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | NO        |           1 | NC      | $-26008.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL SA                   | BANQUE FEDERATIVE DU CREDIT MUTUEL SA 3.875000% 06/16/2032                     | CUSIP: N/A<br>LEI: VBHFXSYT7OG62HNT8T76       | Long             | DBT              | NUSS              | FR        |      300000 | PA      | $346076.90    | 0.09%             | 2032-06-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $26616.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wintershall Dea Finance B.V.                            | WINTERSHALL DEA FINANCE BV 1.823000% 09/25/2031                                | CUSIP: N/A<br>LEI: 529900SUC9JUI6M74U66       | Long             | DBT              | NUSS              | DE        |      400000 | PA      | $406437.22    | 0.10%             | 2031-09-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-29361.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   140000000 | PA      | $839472.00    | 0.22%             | 2039-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CNY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $615.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIAN RINGGIT                                       | FX Forward Contract: CNY/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CN        |           1 | NC      | $15477.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC HOLDINGS PLC 6.364000% 11/16/2032                                         | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | NUSS              | GB        |      249000 | PA      | $297355.82    | 0.08%             | 2032-11-16      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                       | Credit Default Swap                                                            | CUSIP: CDS252921<br>LEI: 213800IQAOC5HG62T347 | N/A              | DCR              |  | US        |     -800000 | NC      | $38614.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BMS IRELAND CAPITAL FUNDING DESIGNATED ACTIVITY COMPANY | BMS IRELAND CAPITAL FUNDING DAC 4.581000% 11/10/2055                           | CUSIP: N/A<br>LEI: 9845002AC2D55DFID596       | Long             | DBT              | NUSS              | US        |      224000 | PA      | $250563.11    | 0.06%             | 2055-11-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CNY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $633.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $20744.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $125371.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand                                             | New Zealand Government Bond 2.500000% 09/20/2035                               | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |     1889000 | PA      | $1472694.46   | 0.38%             | 2035-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/KRW SETTLE 2026-05-26                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $3434.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | NAB 07/09/2026 NCD CERTIFICATE OF DEPOSIT                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AU        |    22000000 | PA      | $14786714.25  | 3.81%             |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE CANADIENNE IMPERIALE DE COMMERCE                 | CANADIAN IMPERIAL BANK OF COMMERCE 6.500000% 07/28/2086                        | CUSIP: 13607QUM2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | NUSS              | CA        |      240000 | PA      | $234593.50    | 0.06%             | 2086-07-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORWEIGAN KRONE                                         | FX Forward Contract: NOK/USD SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | NO        |           1 | NC      | $-2732.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH KRONE                                           | FX Forward Contract: SEK/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | SE        |           1 | NC      | $-122919.98   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| INDIGO GROUP SA                                         | INDIGO GROUP SAS 4.500000% 04/18/2030                                          | CUSIP: N/A<br>LEI: 213800H5J9NKEXSUQX44       | Long             | DBT              | NUSS              | FR        |      300000 | PA      | $355062.83    | 0.09%             | 2030-04-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New South Wales Treasury Corporation                    | NEW S WALES TREASURY CRP 3.500000% 11/20/2037                                  | CUSIP: N/A<br>LEI: TC7LRO17HPNPLTAV0H77       | Long             | DBT              | NUSS              | AU        |      468800 | PA      | $259458.72    | 0.07%             | 2037-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/AUD SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $156298.07    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                           | BRK:HSBC REF: 150MIO FV CGB 2.52 08/25/33  (230018)                            | CUSIP: N/A<br>LEI: MP6I5ZYZBEU3UXPYFY54       | N/A              | DE               |  | US        |   150000000 | NC      | $-96646.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-319.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republica de Colombia                                   | TITULOS DE TESORERIA 7.750000% 09/18/2030                                      | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  1455000000 | PA      | $319801.72    | 0.08%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: CNY/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CN        |           1 | NC      | $1552.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 2.250000% 11/15/2027                                           | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |     5240000 | PA      | $5109614.08   | 1.32%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN DOLLAR                                         | FX Forward Contract: CAD/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CA        |           1 | NC      | $-50031.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Sartorius Finance B.V.                                  | SARTORIUS FINANCE BV 4.875000% 09/14/2035                                      | CUSIP: N/A<br>LEI: 529900JCAKTMRXK9EA58       | Long             | DBT              | NUSS              | DE        |      200000 | PA      | $238069.65    | 0.06%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| INTEL CORPORATION                                       | INTEL CORP 5.600000% 02/21/2054                                                | CUSIP: 458140CM0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      406000 | PA      | $372442.82    | 0.10%             | 2054-02-21      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: EUR/USD SETTLE 2026-06-08                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | XX        |           1 | NC      | $-8062.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - BARCLAYS BANK PLC                              | Credit Default Swap                                                            | CUSIP: CDS049516<br>LEI: N/A                  | N/A              | DCR              |  | US        |      687000 | NC      | $3030.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENGIE SA                                                | ENGIE SA MTN 4.500000% 09/06/2042                                              | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | NUSS              | FR        |      300000 | PA      | $342924.96    | 0.09%             | 2042-09-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | PETROLEOS MEXICANOS 5.950000% 01/28/2031                                       | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      758000 | PA      | $724703.35    | 0.19%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/ZAR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $19514.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $7652.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | CREDIT AGRICOLE SA MTN 6.500000% MATURITY: PERPETUAL                           | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | NUSS              | FR        |      400000 | PA      | $475303.61    | 0.12%             | 2175-03-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                          | CITIGROUP INC 3.493000% 10/22/2034                                             | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | NUSS              | US        |      640000 | PA      | $707918.61    | 0.18%             | 2034-10-22      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| KOREAN WON                                              | FX Forward Contract: KRW/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | KR        |           1 | NC      | $-10919.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                               | AUSTRALIAN GOVERNMENT 2.500000% 05/21/2030                                     | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     2244000 | PA      | $1412714.71   | 0.36%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC HOLDINGS PLC MTN 3.911000% 05/13/2034                                     | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | NUSS              | GB        |      260000 | PA      | $296346.32    | 0.08%             | 2034-05-13      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| KOREAN WON                                              | FX Forward Contract: KRW/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | KR        |           1 | NC      | $-31181.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS GROUP AG 144A 7.000000% MATURITY: PERPETUAL                                | CUSIP: 902613BS6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | NUSS              | CH        |      300000 | PA      | $291623.39    | 0.08%             | 2175-02-05      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Malaysia                                                | MALAYSIA GOVERNMENT 3.885000% 08/15/2029                                       | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     2710000 | PA      | $680602.71    | 0.18%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/ZAR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $39620.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                     | CITADEL FINANCE LLC 144A 5.900000% 02/10/2030                                  | CUSIP: 17287HAD2<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1004844.42   | 0.26%             | 2030-02-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/MXN SETTLE 2026-04-27                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $0.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/PEN SETTLE 2026-05-06                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $3528.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/PHP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $3137.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                  | CHINA DEVELOPMENT BANK 4.300000% 08/02/2032                                    | CUSIP: N/A<br>LEI: 300300C1020111000029       | Long             | DBT              | NUSS              | CN        |     4000000 | PA      | $659957.73    | 0.17%             | 2032-08-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| People's Republic of China                              | CHINA GOVERNMENT BOND 1.740000% 10/15/2029                                     | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |     1740000 | PA      | $254874.61    | 0.07%             | 2029-10-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UNITED KINGDOM GILT 4.250000% 07/31/2034                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      686117 | PA      | $870582.13    | 0.22%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-183979.62   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/JPY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $2959.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/THB SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-1248.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $6632.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-10153.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Werfen, S.A.                                            | WERFEN SA/SPAIN MTN 3.625000% 02/12/2032                                       | CUSIP: N/A<br>LEI: 9598003BHZ02SG7LKD16       | Long             | DBT              | NUSS              | ES        |      100000 | PA      | $112993.34    | 0.03%             | 2032-02-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UK TSY GILT 4.250000% 12/07/2046                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      440095 | PA      | $492185.63    | 0.13%             | 2046-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Aktiengesellschaft                        | DEUTSCHE BANK AG MTN 1.750000% 11/19/2030                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | NUSS              | DE        |      900000 | PA      | $962802.97    | 0.25%             | 2030-11-19      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                           | FORD MOTOR CREDIT CO LLC 7.122000% 11/07/2033                                  | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      280000 | PA      | $294124.53    | 0.08%             | 2033-11-07      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Aktiengesellschaft                        | DEUTSCHE BANK AG 7.375000% MATURITY: PERPETUAL                                 | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | NUSS              | DE        |      400000 | PA      | $477170.18    | 0.12%             | 2174-04-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/JPY SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $538.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| European Union                                          | EUROPEAN UNION MTN 3.250000% 12/12/2036                                        | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | XX        |     3000000 | PA      | $3378085.03   | 0.87%             | 2036-12-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Republica de Colombia                                   | TITULOS DE TESORERIA 13.250000% 02/09/2033                                     | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  1153600000 | PA      | $311643.85    | 0.08%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| BUNZL FINANCE PUBLIC LIMITED COMPANY                    | BUNZL FINANCE PLC MTN 3.375000% 04/09/2032                                     | CUSIP: N/A<br>LEI: 549300G276IH2GSE0E88       | Long             | DBT              | NUSS              | GB        |      430000 | PA      | $475792.90    | 0.12%             | 2032-04-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC                                                    | FX Forward Contract: USD/CNY SETTLE 2026-04-17                                 | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              |  | US        |           1 | NC      | $-228.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Province of Ontario, Canada                             | ONTARIO (PROVINCE OF) 2.900000% 12/02/2046                                     | CUSIP: 68323ACY8<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     1419000 | PA      | $779766.20    | 0.20%             | 2046-12-02      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Forsaetisraduneyti                                      | RIKISBREF 6.500000% 02/15/2038                                                 | CUSIP: YR6906709<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |   320453313 | PA      | $2489300.33   | 0.64%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/EUR SETTLE 2026-05-18                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $309321.86    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - MERRILL LYNCH INTERNATIONAL                    | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | XX        |     1077000 | NC      | $-90048.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - JPMORGAN CHASE BANK LONDON                     | Credit Default Swap                                                            | CUSIP: CDS018730<br>LEI: N/A                  | N/A              | DCR              |  | US        |     3492000 | NC      | $-60370.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - BARCLAYS BANK PLC                              | BROKER - BARCLAYS BANK PLC PAY - MXN-TIIE ON-OIS COMPOUND                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | MX        |    21978000 | NC      | $-3007.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Statsministerens Kontor                                 | NORWAY GOVERNMENT BOND 144A 1.375000% 08/19/2030                               | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |    14767000 | PA      | $1336025.45   | 0.34%             | 2030-08-19      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UK TSY GILT 3.500000% 01/22/2045                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      291503 | PA      | $296492.59    | 0.08%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Zealand                                             | NEW ZEALAND GOVERNMENT 0.250000% 05/15/2028                                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |     2658000 | PA      | $1414532.10   | 0.36%             | 2028-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | UNITED MEXICAN STATES 4.000000% 03/15/2115                                     | CUSIP: P9767G4W8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     2530000 | PA      | $1898557.83   | 0.49%             | 2115-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP.                                      | CI FINANCIAL CORP 144A 4.625000% 12/12/2031                                    | CUSIP: DC1465970<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | NUSS              | CA        |      170000 | PA      | $195907.85    | 0.05%             | 2031-12-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (40 YEAR ISSUE) 1.400000% 03/20/2055                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   426550000 | PA      | $1604663.46   | 0.41%             | 2055-03-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $8037.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                | US LONG BOND(CBT) JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          -7 | NC      | $-797125.00   | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-25413.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | UNITED MEXICAN STATES 3.875000% 05/16/2031                                     | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     1400000 | PA      | $1572642.68   | 0.40%             | 2031-05-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US ULTRA BOND CBT JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -34 | NC      | $-3963125.00  | -1.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government of the Republic of Korea                     | KOREA TREASURY BOND 3.500000% 06/10/2034                                       | CUSIP: N/A<br>LEI: 549300O0QCVSQGPGDT58       | Long             | DBT              | NUSS              | KR        |   169850000 | PA      | $107623.12    | 0.03%             | 2034-06-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE ASSURANCES SA                           | CREDIT AGRICOLE ASSURANCES SA 4.750000% 09/27/2048                             | CUSIP: N/A<br>LEI: 969500K2MUPSI57XK083       | Long             | DBT              | NUSS              | FR        |      100000 | PA      | $116839.84    | 0.03%             | 2048-09-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLIMITED COMPANY                        | FISERV FUNDING ULC 4.000000% 06/15/2036                                        | CUSIP: 337735AC8<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | NUSS              | US        |      193000 | PA      | $210076.70    | 0.05%             | 2036-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRITISH STERLING POUND                                  | FX Forward Contract: GBP/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |           1 | NC      | $-2256.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CNY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $68.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/PEN SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $68205.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $55749.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - JPMORGAN CHASE BANK LONDON                     | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | XX        |     1261000 | NC      | $-91108.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                                  | CANADIAN GOVERNMENT 2.250000% 06/01/2029                                       | CUSIP: 135087J39<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     3651000 | PA      | $2561050.07   | 0.66%             | 2029-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ISRAELI SHEKEL                                          | FX Forward Contract: ILS/USD SETTLE 2026-05-18                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | IL        |           1 | NC      | $-629.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundeskanzleramt Oesterreich                            | REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.000000% 10/20/2040                  | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |      455000 | PA      | $312739.50    | 0.08%             | 2040-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| New Zealand                                             | NEW ZEALAND GOVERNMENT 4.500000% 05/15/2030                                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |     3832000 | PA      | $2221794.91   | 0.57%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EURO-SCHATZ FUT   JUN26                                 | EURO-SCHATZ FUT   JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          97 | NC      | $11819045.97  | 3.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PERUVIAN NEW SOL                                        | FX Forward Contract: PEN/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | PE        |           1 | NC      | $-12380.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CADENT FINANCE PLC                                      | CADENT FINANCE PLC MTN 0.750000% 03/11/2032                                    | CUSIP: N/A<br>LEI: 5493005M8TJ0J6IMUF67       | Long             | DBT              | NUSS              | GB        |      355000 | PA      | $342631.02    | 0.09%             | 2032-03-11      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | BRK: GOLDMAN PAY: 2.58                                                         | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              |  | XX        |    25800000 | NC      | $-1412946.56  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| US 2YR NOTE (CBT) JUN26                                 | US 2YR NOTE (CBT) JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -45 | NC      | $-9335039.06  | -2.40%            |  |  |  | No            |                  1 | On Loan: No      |
| Commonwealth of Australia                               | AUSTRALIAN GOVERNMENT 4.500000% 04/21/2033                                     | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |      887000 | PA      | $595628.39    | 0.15%             | 2033-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | MEX BONOS DESARR FIX RT 7.750000% 11/23/2034                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    18434900 | PA      | $934359.19    | 0.24%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UK TSY GILT 4.250000% 12/07/2049                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      836307 | PA      | $920431.77    | 0.24%             | 2049-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC INC                                           | MEDTRONIC INC 4.150000% 10/15/2043                                             | CUSIP: 585055BX3<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | NUSS              | US        |      428000 | PA      | $471495.75    | 0.12%             | 2043-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MALAYSIAN RINGGIT                                       | FX Forward Contract: CNY/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CN        |           1 | NC      | $-1275.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                              | BUNDESREPUB. DEUTSCHLAND 2.600000% 05/15/2041                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    11200000 | PA      | $11803837.31  | 3.04%             | 2041-05-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                        | AMAZON.COM INC 3.700000% 03/16/2035                                            | CUSIP: 023135DQ6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | NUSS              | US        |      390000 | PA      | $444332.02    | 0.11%             | 2035-03-16      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/THB SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $20.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $5364.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $48691.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS, INC.                                    | META PLATFORMS INC 4.600000% 11/15/2032                                        | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      460000 | PA      | $455487.04    | 0.12%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| International Bank for Reconstruction and Development   | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN 4.200000% 04/21/2033        | CUSIP: N/A<br>LEI: ZTMSNXROF84AHWJNKQ93       | Long             | DBT              | NUSS              | XX        |     2689000 | PA      | $1717286.19   | 0.44%             | 2033-04-21      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CHINESE YUAN RENMINBI                                   | FX Forward Contract: CNY/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CN        |           1 | NC      | $212.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/KRW SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $28820.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BAKER HUGHES HOLDINGS LLC                               | BAKER HUGHES HOLDINGS LLC / BAKER HUGHES CO-OBLIGO 3.812000% 03/11/2034        | CUSIP: 05724BAF6<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | NUSS              | US        |      122000 | PA      | $138799.57    | 0.04%             | 2034-03-11      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| BROKER - GOLDMAN SACHS INTERNATIONAL                    | BROKER - GOLDMAN SACHS INTERNATIONAL PAY - STIBOR SEK 3 MONTH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SE        |     2300000 | NC      | $-2747.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-16998.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                               | REALTY INCOME CORP 5.125000% 07/06/2034                                        | CUSIP: 756109BV5<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | NUSS              | US        |      114000 | PA      | $138732.63    | 0.04%             | 2034-07-06      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/THB SETTLE 2026-05-18                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $127352.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand                                             | NEW ZEALAND GOVERNMENT 1.750000% 05/15/2041                                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |       10000 | PA      | $3701.31      | 0.00%             | 2041-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/TRY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-1124.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 6.500000% 02/15/2031                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        | 11676000000 | PA      | $682060.73    | 0.18%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/PEN SETTLE 2026-05-06                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $43749.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - MERRILL LYNCH INTERNATIONAL                    | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | XX        |     1861000 | NC      | $-134459.57   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GROUP PLC                         | MOTABILITY OPERATIONS GROUP PLC MTN 3.875000% 01/24/2034                       | CUSIP: N/A<br>LEI: AZ3NL8JCZDCNUXFWI720       | Long             | DBT              | NUSS              | GB        |      320000 | PA      | $362272.15    | 0.09%             | 2034-01-24      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                  | ASIAN DEVELOPMENT BANK MTN 2.350000% 06/21/2027                                | CUSIP: N/A<br>LEI: 549300X0MVH42CY8Q105       | Long             | DBT              | NUSS              | XX        |   330000000 | PA      | $2105765.01   | 0.54%             | 2027-06-21      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $82230.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                     | ONCOR ELECTRIC DELIVERY CO LLC 3.625000% 06/15/2034                            | CUSIP: N/A<br>LEI: 549300SP2X2BS1KERD24       | Long             | DBT              | NUSS              | US        |      350000 | PA      | $393358.88    | 0.10%             | 2034-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/ILS SETTLE 2026-05-18                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $23535.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (40 YEAR ISSUE) 2.200000% 03/20/2064                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   282600000 | PA      | $1222130.87   | 0.31%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Banco Santander                                         | BRK - BANCO SANTANDER SA PAY - BRAZIL CETIP INTERBANK DEPOSIT RATE             | CUSIP: N/A<br>LEI: 5493006QMFDDMYWIAM13       | N/A              | DIR              |  | BR        |     2609122 | NC      | $-11944.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| People's Republic of China                              | CHINA GOVERNMENT BOND 2.110000% 08/25/2034                                     | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |     4780000 | PA      | $712278.43    | 0.18%             | 2034-08-25      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| China Development Bank (Hong Kong Branch)               | CHINA DEVELOPMENT BANK/HONG KONG MTN 2.600000% 04/23/2029                      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | CN        |     7510000 | PA      | $1116009.35   | 0.29%             | 2029-04-23      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-297.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                               | AUSTRALIAN GOVERNMENT 3.500000% 12/21/2034                                     | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |      824000 | PA      | $507554.02    | 0.13%             | 2034-12-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Malaysia                                                | MALAYSIA GOVERNMENT 4.232000% 06/30/2031                                       | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     4761000 | PA      | $1219140.53   | 0.31%             | 2031-06-30      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $14239.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INCORPORATED                      | HUNTINGTON BANCSHARES INC/OH 5.605000% 01/28/2041                              | CUSIP: 446150BL7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |      210000 | PA      | $204939.54    | 0.05%             | 2041-01-28      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/INR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $22307.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 8.375000% 03/15/2034                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        | 35672000000 | PA      | $2286412.63   | 0.59%             | 2034-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JPN 10Y BOND(OSE) JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         -19 | NC      | $-15562826.08 | -4.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Republica de Colombia                                   | TITULOS DE TESORERIA 12.500000% 02/27/2030                                     | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 13272600000 | PA      | $3463603.44   | 0.89%             | 2030-02-27      | Fixed         | 12.50%                | No            |                  2 | On Loan: No      |
| Merrill Lynch                                           | REF: CETIP INDEX BRK: MERRILL LYNCH                                            | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DIR              |  | BR        |    16000000 | NC      | $-97714.81    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NORWEIGAN KRONE                                         | FX Forward Contract: NOK/USD SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | NO        |           1 | NC      | $-7641.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZILIAN REAL                                          | FX Forward Contract: BRL/USD SETTLE 2026-05-05                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | BR        |           1 | NC      | $16723.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN DOLLAR                                       | FX Forward Contract: AUD/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | AU        |           1 | NC      | $-5236.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   270950000 | PA      | $1401585.91   | 0.36%             | 2036-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $16652.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAKER HUGHES HOLDINGS LLC                               | BAKER HUGHES HOLDINGS LLC / BAKER HUGHES CO-OBLIGO 4.737000% 03/11/2046        | CUSIP: 05724BAH2<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | NUSS              | US        |      144000 | PA      | $163929.83    | 0.04%             | 2046-03-11      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/PHP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $1874.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-15395.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/GBP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $46259.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-81397.97    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN DOLLAR                                       | FX Forward Contract: AUD/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | AU        |           1 | NC      | $-30971.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| South Australian Government Financing Authority         | SOUTH AUST GOVT FIN AUTH 4.750000% 05/24/2038                                  | CUSIP: N/A<br>LEI: 254900TDPILDN6AUAD69       | Long             | DBT              | NUSS              | AU        |     1002000 | PA      | $622870.99    | 0.16%             | 2038-05-24      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT SA                                | UBISOFT ENTERTAINMENT SA 0.878000% 11/24/2027                                  | CUSIP: N/A<br>LEI: 969500I7C8V1LBIMSM05       | Long             | DBT              | NUSS              | FR        |      500000 | PA      | $464095.35    | 0.12%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                               | AUSTRALIAN GOVERNMENT 4.250000% 03/21/2036                                     | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |      450000 | PA      | $290630.59    | 0.07%             | 2036-03-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BROKER - GOLDMAN SACHS INTERNATIONAL                    | BROKER - GOLDMAN SACHS INTERNATIONAL PAY - BRAZIL CETIP INTERBANK DEPOSIT RATE | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | BR        |     4480000 | NC      | $-33877.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $1461.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                | US 5YR NOTE (CBT) JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -31 | NC      | $-3353570.31  | -0.86%            |  |  |  | No            |                  1 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-33670.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-22910.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/INR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $18981.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN DOLLAR                                         | FX Forward Contract: CAD/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CA        |           1 | NC      | $-16277.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/GBP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $5265.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARIAN FORINT                                        | FX Forward Contract: HUF/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | HU        |           1 | NC      | $14425.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/SEK SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $116507.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Repubblica Italiana                                     | BUONI POLIENNALI DEL TES 5.750000% 02/01/2033                                  | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     4700000 | PA      | $6145903.91   | 1.58%             | 2033-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 6.750000% 07/15/2035                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  7157000000 | PA      | $416714.32    | 0.11%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/NOK SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-32490.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 7.000000% 09/15/2030                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        | 10792000000 | PA      | $640635.52    | 0.16%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Statsministerens Kontor                                 | NORWAY GOVERNMENT BOND 144A 2.125000% 05/18/2032                               | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |     4172000 | PA      | $377926.14    | 0.10%             | 2032-05-18      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Rzeczpospolita Polska                                   | REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND M 3.625000% 06/15/2036        | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     1230000 | PA      | $1376462.90   | 0.35%             | 2036-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-402.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS INC. (PAS)                              | FX Forward Contract: CAD/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CA        |           1 | NC      | $-1610.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL GRID NORTH AMERICA INC                         | NATIONAL GRID NORTH AMERICA INC MTN 4.668000% 09/12/2033                       | CUSIP: N/A<br>LEI: 5Q3U0WRKWZZGRMPYFT08       | Long             | DBT              | NUSS              | US        |      252000 | PA      | $302613.00    | 0.08%             | 2033-09-12      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CHILEAN PESO                                            | FX Forward Contract: CLP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CL        |           1 | NC      | $-65030.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EURO-OAT FUTURE   JUN26                                 | EURO-OAT FUTURE   JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -12 | NC      | $-1641064.64  | -0.42%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC.                                          | CITIGROUP INC 4.113000% 04/29/2036                                             | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | NUSS              | US        |      380000 | PA      | $434832.33    | 0.11%             | 2036-04-29      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                      | ORACLE CORP 5.200000% 09/26/2035                                               | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      150000 | PA      | $140699.24    | 0.04%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Republique Francaise                                    | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 3.500000% 11/25/2033                  | CUSIP: F26348DB9<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    12000000 | PA      | $13824071.90  | 3.56%             | 2033-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Province of Ontario, Canada                             | ONTARIO (PROVINCE OF) 2.800000% 06/02/2048                                     | CUSIP: 68323ADZ4<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     1540000 | PA      | $818968.15    | 0.21%             | 2048-06-02      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| European Union                                          | EUROPEAN UNION MTN 3.375000% 12/12/2035                                        | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | XX        |     2947000 | PA      | $3387131.51   | 0.87%             | 2035-12-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC                                                    | FX Forward Contract: USD/JPY SETTLE 2026-05-15                                 | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              |  | US        |           1 | NC      | $52669.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/KRW SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $42700.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Republica de Colombia                                   | TITULOS DE TESORERIA 7.000000% 03/26/2031                                      | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  1904800000 | PA      | $400900.92    | 0.10%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/HUF SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-21229.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KfW                                                     | KREDITANSTALT FUER WIEDERAUFBAU 2.600000% 06/20/2037                           | CUSIP: 500769CG7<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | NUSS              | DE        |   207000000 | PA      | $1327028.44   | 0.34%             | 2037-06-20      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-17733.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $9357.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY 4.099000% 05/22/2036                                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | NUSS              | US        |      260000 | PA      | $297311.21    | 0.08%             | 2036-05-22      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UNITED KINGDOM GILT 4.375000% 01/31/2040                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      336000 | PA      | $405646.24    | 0.10%             | 2040-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MEXICAN PESO                                            | FX Forward Contract: MXN/USD SETTLE 2026-04-27                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | MX        |           1 | NC      | $-293.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                   | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.850000% 12/01/2035        | CUSIP: 161175CS1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      155000 | PA      | $152455.93    | 0.04%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Romania                                                 | ROMANIA 2.625000% 12/02/2040                                                   | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2340000 | PA      | $1688736.10   | 0.43%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government of the Republic of Korea                     | KOREA TREASURY BOND 2.000000% 06/10/2031                                       | CUSIP: N/A<br>LEI: 549300O0QCVSQGPGDT58       | Long             | DBT              | NUSS              | KR        |  1865420000 | PA      | $1113565.30   | 0.29%             | 2031-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROKER - DEUTSCHE BANK AG LONDON                        | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | XX        |      841000 | NC      | $-60763.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (10 YEAR ISSUE) 0.100000% 09/20/2027                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   428150000 | PA      | $2647134.46   | 0.68%             | 2027-09-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/EUR SETTLE 2026-06-01                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $14344.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Malaysia                                                | MALAYSIA GOVERNMENT 3.828000% 07/05/2034                                       | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     2393000 | PA      | $596955.52    | 0.15%             | 2034-07-05      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| HSBC                                                    | FX Forward Contract: USD/CNY SETTLE 2026-04-17                                 | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              |  | US        |           1 | NC      | $-79517.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH STERLING POUND                                  | FX Forward Contract: GBP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |           1 | NC      | $-9373.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                    | FX Forward Contract: USD/AUD SETTLE 2026-05-15                                 | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              |  | US        |           1 | NC      | $469864.95    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand                                             | NEW ZEALAND GVT ILB 2.500000% 09/20/2040                                       | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |      716000 | PA      | $524299.66    | 0.13%             | 2040-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (20 YEAR ISSUE) 1.800000% 09/20/2031                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   382050000 | PA      | $2395395.15   | 0.62%             | 2031-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/INR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $2068.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/SEK SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $122067.22    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/NOK SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $291.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                    | FX Forward Contract: USD/CAD SETTLE 2026-05-15                                 | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              |  | US        |           1 | NC      | $77717.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-2849.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERUVIAN NEW SOL                                        | FX Forward Contract: PEN/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | PE        |           1 | NC      | $-7164.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| European Investment Bank                                | EUROPEAN INVESTMENT BANK 5.625000% 06/07/2032                                  | CUSIP: L32482BR8<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |      768000 | PA      | $1065947.16   | 0.27%             | 2032-06-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 7.375000% 05/15/2048                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        | 11736000000 | PA      | $719787.74    | 0.19%             | 2048-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| REF - CETIP INDEX                                       | REF - CETIP INDEX BRK - MERRILL                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | BR        |    10300675 | NC      | $-51567.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | MEX BONOS DESARR FIX RT 10.000000% 11/20/2036                                  | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    35396400 | PA      | $2049406.73   | 0.53%             | 2036-11-20      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 4.500000% 02/15/2044                                           | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9300000 | PA      | $8909109.38   | 2.29%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                | ELECTRICITE DE FRANCE SA MTN 4.625000% 01/25/2043                              | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | NUSS              | FR        |      900000 | PA      | $1013778.66   | 0.26%             | 2043-01-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-4521.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UNITED KINGDOM GILT 1.250000% 07/31/2051                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     3155947 | PA      | $1741849.48   | 0.45%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/COP SETTLE 2026-04-20                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $-59075.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | BARCLAYS PLC 9.250000% MATURITY: PERPETUAL                                     | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | NUSS              | GB        |      350000 | PA      | $485777.77    | 0.13%             | 2174-06-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Bundeskanzleramt Oesterreich                            | REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.250000% 10/20/2036                  | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |      539000 | PA      | $450535.44    | 0.12%             | 2036-10-20      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                | ELECTRICITE DE FRANCE SA MTN 7.500000% MATURITY: PERPETUAL                     | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | NUSS              | FR        |      600000 | PA      | $738166.97    | 0.19%             | 2174-12-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-26935.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $9631.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDIA RUPEE                                             | FX Forward Contract: INR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | IN        |           1 | NC      | $1917.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Province of British Columbia                            | BRITISH COLUMBIA PROV OF 4.000000% 06/18/2035                                  | CUSIP: 110709AP7<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     1100000 | PA      | $791758.80    | 0.20%             | 2035-06-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/MXN SETTLE 2026-04-27                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $29490.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | UNITED MEXICAN STATES 4.500000% 03/19/2034                                     | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     1060000 | PA      | $1188472.51   | 0.31%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/ZAR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $39537.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $25641.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                                  | CANADA-GOV'T 2.000000% 12/01/2051                                              | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     1565000 | PA      | $779791.77    | 0.20%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/PLN SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $282952.03    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Statsministerens Kontor                                 | NORWAY GOVERNMENT BOND 144A 1.750000% 02/17/2027                               | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |    10363000 | PA      | $1040240.64   | 0.27%             | 2027-02-17      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/GBP SETTLE 2026-06-01                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $277309.22    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTRICA PLC                                            | CENTRICA PLC 6.500000% 05/21/2055                                              | CUSIP: N/A<br>LEI: E26EDV109X6EEPBKVH76       | Long             | DBT              | NUSS              | GB        |      350000 | PA      | $462700.44    | 0.12%             | 2055-05-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Province of Quebec                                      | PROVINCE OF QUEBEC 6.250000% 06/01/2032                                        | CUSIP: 748148QT3<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      720000 | PA      | $592788.22    | 0.15%             | 2032-06-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 3.750000% 04/30/2027                                           | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |     6750000 | PA      | $6747136.38   | 1.74%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SWEDISH KRONE                                           | FX Forward Contract: SEK/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | SE        |           1 | NC      | $-44343.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                   | NEXTERA ENERGY CAPITAL HOLDINGS INC 4.496000% 05/15/2056                       | CUSIP: 65339KDV9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | NUSS              | US        |      301000 | PA      | $333379.88    | 0.09%             | 2056-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC                                                    | FX Forward Contract: USD/GBP SETTLE 2026-05-15                                 | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              |  | US        |           1 | NC      | $239777.20    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Government of the Republic of Korea                     | KOREA TREASURY BOND 3.375000% 06/10/2032                                       | CUSIP: N/A<br>LEI: 549300O0QCVSQGPGDT58       | Long             | DBT              | NUSS              | KR        |   597740000 | PA      | $380229.79    | 0.10%             | 2032-06-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/GBP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $57619.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CaixaBank, S.A.                                         | CAIXABANK SA 1.250000% 01/11/2027                                              | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | NUSS              | ES        |      300000 | PA      | $341997.60    | 0.09%             | 2027-01-11      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| EURO-BTP FUTURE   JUN26                                 | EURO-BTP FUTURE   JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -19 | NC      | $-2545592.81  | -0.66%            |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL GRID PLC                                       | NATIONAL GRID PLC MTN 4.275000% 01/16/2035                                     | CUSIP: N/A<br>LEI: 8R95QZMKZLJX5Q2XR704       | Long             | DBT              | NUSS              | GB        |      370000 | PA      | $430464.06    | 0.11%             | 2035-01-16      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Republica de Colombia                                   | TITULOS DE TESORERIA 13.250000% 02/09/2033                                     | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  9909900000 | PA      | $2677149.26   | 0.69%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| Schweizerische Eidgenossenschaft                        | SWITZERLAND 3.500000% 04/08/2033                                               | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     1664000 | PA      | $2535991.50   | 0.65%             | 2033-04-08      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TURKISH LIRA                                            | FX Forward Contract: TRY/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | TR        |           1 | NC      | $5041.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer Aktiengesellschaft                                | BAYER AG 7.000000% 09/25/2083                                                  | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | DBT              | NUSS              | DE        |      400000 | PA      | $488589.24    | 0.13%             | 2083-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (10 YEAR ISSUE) 0.900000% 09/20/2034                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    96700000 | PA      | $547322.36    | 0.14%             | 2034-09-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Romania                                                 | ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 4.625000% 03/04/2033               | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      910000 | PA      | $979560.05    | 0.25%             | 2033-03-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Republica de Chile                                      | REPUBLIC OF CHILE 3.800000% 07/01/2035                                         | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |      171528 | PA      | $192281.86    | 0.05%             | 2035-07-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Koninkrijk der Nederlanden                              | NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2033                          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     2774590 | PA      | $3111517.74   | 0.80%             | 2033-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROKER - MERRILL LYNCH INTERNATIONAL                    | Credit Default Swap                                                            | CUSIP: CDS073830<br>LEI: N/A                  | N/A              | DCR              |  | US        |     3880000 | NC      | $-67077.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - BARCLAYS BANK PLC                              | BROKER - BARCLAYS BANK PLC PAY - 1.572%                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |   195710823 | NC      | $59452.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | CREDIT AGRICOLE SA MTN 4.375000% 11/27/2033                                    | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | NUSS              | FR        |      200000 | PA      | $236013.87    | 0.06%             | 2033-11-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $4766.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Royaume de Belgique                                     | KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.000000% 06/22/2034                   | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |      593872 | PA      | $665956.14    | 0.17%             | 2034-06-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAZILIAN REAL                                          | FX Forward Contract: BRL/USD SETTLE 2026-05-05                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | BR        |           1 | NC      | $1833.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWISS FRANC                                             | FX Forward Contract: CHF/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |           1 | NC      | $-1537.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRYSMIAN S.P.A.                                         | PRYSMIAN SPA 5.250000% MATURITY: PERPETUAL                                     | CUSIP: N/A<br>LEI: 529900X0H1IO3RS1A464       | Long             | DBT              | NUSS              | IT        |      100000 | PA      | $116981.99    | 0.03%             | 2174-08-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| New Zealand                                             | NEW ZEALAND GOVERNMENT 3.000000% 04/20/2029                                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |      805000 | PA      | $448104.42    | 0.12%             | 2029-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (2 YEAR ISSUE) 0.800000% 03/01/2027                                      | CUSIP: J2S39L7C2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1100000000 | PA      | $6896762.84   | 1.78%             | 2027-03-01      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                      | ORACLE CORP 6.850000% 02/04/2066                                               | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      220000 | PA      | $202250.84    | 0.05%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| EURO-BUXL 30Y BND JUN26                                 | EURO-BUXL 30Y BND JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          -4 | NC      | $-508169.14   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                            | UBS GROUP AG MTN 4.625000% 03/17/2028                                          | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | NUSS              | CH        |      265000 | PA      | $309146.78    | 0.08%             | 2028-03-17      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Romania                                                 | ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 5.750000% 07/04/2036               | CUSIP: 775921AA7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      630000 | PA      | $584163.34    | 0.15%             | 2036-07-04      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Canada                                                  | CAN 10YR BOND FUT JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         -30 | NC      | $-2579843.07  | -0.66%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: EUR/USD SETTLE 2026-05-18                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | XX        |           1 | NC      | $-5435.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republica de Colombia                                   | TITULOS DE TESORERIA 11.750000% 01/24/2035                                     | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  2041000000 | PA      | $516280.14    | 0.13%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                               | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DCR              |  | XX        |     1340000 | NC      | $-96816.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CADENT FINANCE PLC                                      | CADENT FINANCE PLC MTN 3.750000% 04/16/2033                                    | CUSIP: N/A<br>LEI: 5493005M8TJ0J6IMUF67       | Long             | DBT              | NUSS              | GB        |      390000 | PA      | $441299.18    | 0.11%             | 2033-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PERUVIAN NEW SOL                                        | FX Forward Contract: PEN/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | PE        |           1 | NC      | $-7029.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/IDR SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $1189.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SES SA                                                  | SES SA MTN 4.875000% 06/24/2033                                                | CUSIP: N/A<br>LEI: 5493008JPA4HYMH1HX51       | Long             | DBT              | NUSS              | LU        |      140000 | PA      | $158468.21    | 0.04%             | 2033-06-24      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/SEK SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $31279.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                | US ULTRA BOND CBT JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |           2 | NC      | $233125.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Bundesrepublik Deutschland                              | BUNDESREPUB. DEUTSCHLAND 2.900000% 08/15/2056                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |      399000 | PA      | $411261.01    | 0.11%             | 2056-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/COP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-4025.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eagle Funding LuxCo S.a r.l.                            | EAGLE FUNDING LUXCO SARL 144A 5.500000% 08/17/2030                             | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | MX        |     1800000 | PA      | $1809450.00   | 0.47%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THAILAND BAHT                                           | FX Forward Contract: THB/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | TH        |           1 | NC      | $-7577.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: THB/USD SETTLE 2026-05-18                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TH        |           1 | NC      | $-2679.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland    | UK TSY GILT 4.500000% 09/07/2034                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      258436 | PA      | $334022.88    | 0.09%             | 2034-09-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                               | AUSTRALIAN GOVERNMENT 4.750000% 06/21/2054                                     | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     4100000 | PA      | $2557041.79   | 0.66%             | 2054-06-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wintershall Dea Finance 2 B.V.                          | WINTERSHALL DEA FINANCE 2 BV 3.000000% MATURITY: PERPETUAL                     | CUSIP: N/A<br>LEI: 529900DV88FUQZSVVL48       | Long             | DBT              | NUSS              | DE        |      800000 | PA      | $879186.08    | 0.23%             | 2175-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRITISH STERLING POUND                                  | FX Forward Contract: GBP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |           1 | NC      | $-13097.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/NZD SETTLE 2026-06-03                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $233123.10    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/CAD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $1928.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREAN WON                                              | FX Forward Contract: KRW/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | KR        |           1 | NC      | $-12209.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                   | NEXTERA ENERGY CAPITAL HOLDINGS INC 4.750000% 02/26/2056                       | CUSIP: 65339KEC0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | NUSS              | US        |      213000 | PA      | $236372.55    | 0.06%             | 2056-02-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/MXN SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $3053.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH KRONE                                           | FX Forward Contract: SEK/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | SE        |           1 | NC      | $-14164.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: EUR/USD SETTLE 2026-05-18                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | XX        |           1 | NC      | $-2436.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/THB SETTLE 2026-06-02                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $150692.49    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 1.800000% 03/20/2054                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    40000000 | PA      | $169488.97    | 0.04%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| SWEDISH KRONE                                           | FX Forward Contract: SEK/USD SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | SE        |           1 | NC      | $-149865.16   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIAN RINGGIT                                       | FX Forward Contract: CNY/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CN        |           1 | NC      | $-5666.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   503500000 | PA      | $3094425.11   | 0.80%             | 2033-06-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                               | AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047                                     | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |      532000 | PA      | $257610.47    | 0.07%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/CNY SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $297.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/PHP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $2840.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $10494.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $4237.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 5.875000% 03/15/2031                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  1669000000 | PA      | $95283.60     | 0.02%             | 2031-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BRITISH STERLING POUND                                  | FX Forward Contract: GBP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |           1 | NC      | $-1051.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                               | REALTY INCOME CORP 3.875000% 06/20/2035                                        | CUSIP: 756109CV4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | NUSS              | US        |      152000 | PA      | $167360.35    | 0.04%             | 2035-06-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EURO-OAT FUTURE   JUN26                                 | EURO-OAT FUTURE   JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -45 | NC      | $-6153992.39  | -1.58%            |  |  |  | No            |                  1 | On Loan: No      |
| Rzeczpospolita Polska                                   | POLAND GOVERNMENT BOND 6.000000% 10/25/2033                                    | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     1267000 | PA      | $347104.49    | 0.09%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | KOREA 10YR BND FU JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | KR        |          75 | NC      | $5317794.54   | 1.37%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC                                                    | FX Forward Contract: USD/EUR SETTLE 2026-05-15                                 | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DFE              |  | US        |           1 | NC      | $366444.73    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| People's Republic of China                              | CHINA GOVERNMENT BOND 2.850000% 06/04/2027                                     | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |    13880000 | PA      | $2050946.63   | 0.53%             | 2027-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Koninkrijk der Nederlanden                              | NETHERLANDS GOVERNMENT BOND 144A 2.500000% 07/15/2035                          | CUSIP: N82128CJ1<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      646000 | PA      | $708975.14    | 0.18%             | 2035-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New South Wales Treasury Corporation                    | NEW S WALES TREASURY CRP 2.000000% 03/08/2033                                  | CUSIP: Q6715PB65<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     1010000 | PA      | $560785.99    | 0.14%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $29790.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/ZAR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $49109.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bundeskanzleramt Oesterreich                            | REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.900000% 02/20/2032                  | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     1026000 | PA      | $1048981.27   | 0.27%             | 2032-02-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/CNY SETTLE 2026-06-08                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $40681.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.                           | FX Forward Contract: EUR/NOK SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              |  | XX        |           1 | NC      | $-2818.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $-654.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| W.P. CAREY INC.                                         | WP CAREY INC 3.700000% 11/19/2034                                              | CUSIP: N/A<br>LEI: 54930042CRNE713E3Q67       | Long             | DBT              | NUSS              | US        |      218000 | PA      | $237244.28    | 0.06%             | 2034-11-19      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| INDONESIA RUPIAH                                        | FX Forward Contract: IDR/USD SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ID        |           1 | NC      | $-856.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: NZD/USD SETTLE 2026-06-15                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | NZ        |           1 | NC      | $-12864.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 2.100000% 09/20/2054                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    26800000 | PA      | $121741.30    | 0.03%             | 2054-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/THB SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $2796.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPANESE YEN                                            | FX Forward Contract: JPY/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | JP        |           1 | NC      | $1858.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                              | BUNDESREPUB. DEUTSCHLAND 2.600000% 08/15/2034                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     1028000 | PA      | $1155089.90   | 0.30%             | 2034-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Koninklijke KPN N.V.                                    | KONINKLIJKE KPN NV MTN 3.375000% 02/17/2035                                    | CUSIP: N/A<br>LEI: 549300YO0JZHAL7FVP81       | Long             | DBT              | NUSS              | NL        |      400000 | PA      | $438079.54    | 0.11%             | 2035-02-17      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $5364.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                | US 10YR NOTE (CBT)JUN26 FINANCIAL COMMODITY FUTURE.                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -21 | NC      | $-2331984.38  | -0.60%            |  |  |  | No            |                  1 | On Loan: No      |
| KOREAN WON                                              | FX Forward Contract: KRW/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | KR        |           1 | NC      | $-44552.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/ILS SETTLE 2026-05-18                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $24722.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/THB SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $413.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INFORMA PLC                                             | INFORMA PLC MTN 3.250000% 10/23/2030                                           | CUSIP: N/A<br>LEI: 5493006VM2LKUPSEDU20       | Long             | DBT              | NUSS              | GB        |      290000 | PA      | $324093.58    | 0.08%             | 2030-10-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JAPANESE YEN                                            | FX Forward Contract: JPY/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | JP        |           1 | NC      | $-37031.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Statsministerens Kontor                                 | NORWAY GOVERNMENT BOND 144A 1.250000% 09/17/2031                               | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |    13740000 | PA      | $1200623.47   | 0.31%             | 2031-09-17      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/NOK SETTLE 2026-05-11                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $1060.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Repubblica Italiana                                     | ITALY BUONI POLIENNALI DEL TESORO 144A 4.300000% 10/01/2054                    | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |      770000 | PA      | $851920.41    | 0.22%             | 2054-10-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| VERTIV HOLDINGS CO                                      | VERTIV HOLDINGS CO 5.800000% 03/15/2056                                        | CUSIP: 92537NAC2<br>LEI: 549300KTTIRAOGXCRV69 | Long             | DBT              | CORP              | US        |      240000 | PA      | $230698.28    | 0.06%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/SEK SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $123075.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                           | GOLDMAN SACHS GROUP INC/THE MTN 3.984000% 12/18/2036                           | CUSIP: N/A<br>LEI: 784F5XWPLTWKTBV3E584       | Long             | DBT              | NUSS              | US        |      580000 | PA      | $649773.75    | 0.17%             | 2036-12-18      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| BROKER - BARCLAYS BANK PLC                              | Credit Default Swap                                                            | CUSIP: CDS074242<br>LEI: N/A                  | N/A              | DCR              |  | US        |     2328000 | NC      | $-40246.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                        | TOTALENERGIES SE MTN 2.125000% MATURITY: PERPETUAL                             | CUSIP: N/A<br>LEI: 529900S21EQ1BO4ESM68       | Long             | DBT              | NUSS              | FR        |      270000 | PA      | $270112.64    | 0.07%             | 2175-01-25      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| AVERY DENNISON CORPORATION                              | AVERY DENNISON CORP 4.000000% 09/11/2035                                       | CUSIP: 053611AR0<br>LEI: 549300PW7VPFCYKLIV37 | Long             | DBT              | NUSS              | US        |      107000 | PA      | $120647.25    | 0.03%             | 2035-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank N.A.                                          | REF: CNRR007 INDEX BRK: HSBC                                                   | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | N/A              | DIR              |  | CN        |     3700000 | NC      | $7965.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/ZAR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $17503.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | BARCLAYS PLC 3.941000% 01/31/2036                                              | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | NUSS              | GB        |      220000 | PA      | $246358.60    | 0.06%             | 2036-01-31      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CLP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $49571.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKISH LIRA                                            | FX Forward Contract: TRY/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | TR        |           1 | NC      | $5377.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIA PESO                                           | FX Forward Contract: COP/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CO        |           1 | NC      | $1642.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/TRY SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-1983.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Agricultural Bank of China Ltd (Hong Kong Branch)       | AGRICULTURAL BANK OF CHINA LTD/HONG KONG MTN 2.800000% 07/31/2027              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | CN        |    26500000 | PA      | $3882897.14   | 1.00%             | 2027-07-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 6.625000% 02/15/2034                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  3828000000 | PA      | $221314.51    | 0.06%             | 2034-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                 | NTT FINANCE CORP 144A 4.091000% 07/16/2037                                     | CUSIP: 62954WAZ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | NUSS              | JP        |      164000 | PA      | $187337.98    | 0.05%             | 2037-07-16      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES HOLDINGS LLC                               | BAKER HUGHES HOLDINGS LLC / BAKER HUGHES CO-OBLIGO 4.193000% 03/11/2038        | CUSIP: 05724BAG4<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | NUSS              | US        |      133000 | PA      | $150802.39    | 0.04%             | 2038-03-11      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                | MEX BONOS DESARR FIX RT 8.000000% 11/07/2047                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     4944700 | PA      | $229059.80    | 0.06%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Royaume de Belgique                                     | KINGDOM OF BELGIUM GOVERNMENT BOND 144A 4.250000% 03/28/2041                   | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |       30000 | PA      | $35713.79     | 0.01%             | 2041-03-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Province of British Columbia                            | BRITISH COLUMBIA PROV OF 4.000000% 06/18/2035                                  | CUSIP: 110709AP7<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     7500000 | PA      | $5408088.21   | 1.39%             | 2035-06-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 1.800000% 09/20/2053                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   261000000 | PA      | $1111838.02   | 0.29%             | 2053-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/PHP SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-1880.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Malaysia                                                | MALAYSIA GOVERNMENT 3.502000% 05/31/2027                                       | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     3692000 | PA      | $915887.61    | 0.24%             | 2027-05-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Royaume de Belgique                                     | KINGDOM OF BELGIUM GOVERNMENT BOND 144A 2.850000% 10/22/2034                   | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |       34000 | PA      | $37513.05     | 0.01%             | 2034-10-22      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA MTN 4.000000% 01/20/2034                                               | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | NUSS              | FR        |      400000 | PA      | $455969.27    | 0.12%             | 2034-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-21163.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Rzeczpospolita Polska                                   | REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND M 2.875000% 01/15/2031        | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     2470000 | PA      | $2788980.54   | 0.72%             | 2031-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                           | INDONESIA GOVERNMENT 6.375000% 08/15/2028                                      | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        | 19486000000 | PA      | $1148578.42   | 0.30%             | 2028-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/EUR SETTLE 2026-06-08                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $138237.73    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/CAD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $41067.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/INR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $29846.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PERUVIAN NEW SOL                                        | FX Forward Contract: PEN/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | PE        |           1 | NC      | $-12309.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/JPY SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $0.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Treasury Corporation Of Victoria                        | TREASURY CORP OF VICTORIA MTN 2.000000% 11/20/2037                             | CUSIP: N/A<br>LEI: 549300ZJM7BQW1P9UV75       | Long             | DBT              | NUSS              | AU        |     2435000 | PA      | $1126667.18   | 0.29%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/EUR SETTLE 2026-06-01                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $246923.88    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH KRONE                                           | FX Forward Contract: SEK/USD SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | SE        |           1 | NC      | $-125864.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTRICA PLC                                            | CENTRICA PLC MTN 4.375000% 03/13/2029                                          | CUSIP: N/A<br>LEI: E26EDV109X6EEPBKVH76       | Long             | DBT              | NUSS              | GB        |      179000 | PA      | $231550.97    | 0.06%             | 2029-03-13      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BROKER - CITIGROUP GLOBAL MARKETS LTD                   | BROKER - CITIGROUP GLOBAL MARKETS LTD REC - 8.2525%                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | MX        |     5728500 | NC      | $-5118.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/NZD SETTLE 2026-05-26                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $229241.37    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/THB SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-849.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMS IRELAND CAPITAL FUNDING DESIGNATED ACTIVITY COMPANY | BMS IRELAND CAPITAL FUNDING DAC 3.363000% 11/10/2033                           | CUSIP: N/A<br>LEI: 9845002AC2D55DFID596       | Long             | DBT              | NUSS              | US        |      204000 | PA      | $228071.79    | 0.06%             | 2033-11-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                  | FX Forward Contract: USD/IDR SETTLE 2026-05-04                                 | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | US        |           1 | NC      | $240.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN RAND                                      | FX Forward Contract: ZAR/USD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | ZA        |           1 | NC      | $-80236.97    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                   | BANCO SANTANDER SA 0.250000% 07/10/2029                                        | CUSIP: N/A<br>LEI: 5493006QMFDDMYWIAM13       | Long             | DBT              | NUSS              | ES        |      400000 | PA      | $422240.73    | 0.11%             | 2029-07-10      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Koninkrijk der Nederlanden                              | NETHERLANDS GOVERNMENT BOND 144A 0.000000% 07/15/2030                          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |      234424 | PA      | $240306.61    | 0.06%             | 2030-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Romania                                                 | ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 01/28/2050                | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1030000 | PA      | $720464.20    | 0.19%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Japan                                                   | JAPAN (30 YEAR ISSUE) 2.000000% 03/20/2042                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   338250000 | PA      | $1857238.92   | 0.48%             | 2042-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                               | FX Forward Contract: USD/AUD SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |           1 | NC      | $-89733.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                       | Credit Default Swap                                                            | CUSIP: CDS095821<br>LEI: 213800IQAOC5HG62T347 | N/A              | DCR              |  | US        |      687000 | NC      | $3030.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROKER - MERRILL LYNCH INTERNATIONAL                    | Credit Default Swap                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | XX        |     3064000 | NC      | $-256182.66   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| NORWEIGAN KRONE                                         | FX Forward Contract: NOK/EUR SETTLE 2026-04-22                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | NO        |           1 | NC      | $119321.23    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPANESE YEN                                            | FX Forward Contract: JPY/USD SETTLE 2026-04-13                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | JP        |           1 | NC      | $-2975.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| European Union                                          | EUROPEAN UNION BILL ZERO COUPON 12/04/2026                                     | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | XX        |     1200000 | PA      | $1359446.94   | 0.35%             | 2026-12-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL 30YR TBA (APRIL)                                            | CUSIP: 21H032647<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     1000000 | PA      | $917055.33    | 0.24%             | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-31

**Name of Applicant:** SEI INSTITUTIONAL INTERNATIONAL TRUST

**Signature:** Glenn Kurdziel

**Name of Signer:** Glenn Kurdziel

**Title:** Controller and Chief Financial Officer