# EDGAR Filing Document

**Accession Number:** 0001065698
**File Stem:** 0001752724-25-200801
**Filing Date:** 2025-8
**Character Count:** 99960
**Document Hash:** 5a2fada426227f7b718ef3225c0bade3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-200801.hdr.sgml**: 20250825

**ACCESSION NUMBER**: 0001752724-25-200801

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250825

**DATE AS OF CHANGE**: 20250825

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS VARIABLE INSURANCE TRUST III
- **CENTRAL INDEX KEY:** 0001065698

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08879
- **FILM NUMBER:** 251248101

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-954-5000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SUN CAPITAL ADVISERS TRUST
- **DATE OF NAME CHANGE:** 19980709

## Series and Classes Contracts Data

### MFS Inflation-Adjusted Bond Portfolio (Series ID: S000023378)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000068454 | Initial Class |  |
| C000068455 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-08879

- **c. CIK number of Registrant:** 0001065698

- **d. LEI of Registrant:** 549300QPPZUNGK3D0K61

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

- **a. Name of Series:** MFS Inflation-Adjusted Bond Portfolio

- **b. EDGAR series identifier (if any):** S000023378

- **c. LEI of Series:** 5493008RHGZT7FZTCC74

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $159032895.71

**Total Liabilities:** $1513914.15

**Net Assets:** $157518981.56

**Delayed Delivery Securities:** $625000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -35.31000000 | **1-Year:** -369.81000000 | **5-Year:** -2522.84000000 | **10-Year:** -1910.14000000 | **30-Year:** -105.50000000

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

- **3-Month:** -6.40000000 | **1-Year:** -99.82000000 | **5-Year:** -187.97000000 | **10-Year:** -19.15000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000068454 | 2.13%                | -0.61%               | 2.59%                |
| Class ID C000068455 | 2.16%                | -0.62%               | 2.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-958895.95              | $3180843.30                                |
| Month 2  | $194828.21               | $-1315376.60                               |
| Month 3  | $115313.98               | $2395029.19                                |

**Designated Index Information**

- **Index Name:** Barclays Capital World Government Inflation Linked

- **Index Identifier:** LF94TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-135.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1882263 | PA      | $71782.55     | 0.05%             | 2031-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |         1 | NC      | $-10996.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |         1 | NC      | $1918.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds                                                                                                  | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4315663 | PA      | $2302249.69   | 1.46%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2231455 | PA      | $1643762.02   | 1.04%             | 2058-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-8977.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BBTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231902 | PA      | $45607.23     | 0.03%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-26040.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BTP FUTURE SEP25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         2 | NC      | $1809.17      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   3078318 | PA      | $3906543.03   | 2.48%             | 2041-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | N/A       |         1 | NC      | $4779.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | N/A       |         1 | NC      | $5162.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   2047250 | PA      | $2531182.46   | 1.61%             | 2039-11-30      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B24 Mortgage Trust                                                                                                      | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500501 | PA      | $105980.72    | 0.07%             | 2054-03-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-5558.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BM11746   IRS USD R V 12MUSCPI SM11746_FLO CCPINFLATIONZERO / Short: BM11746   IRS USD P F  2.75500 SM11746_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8400000 | OU      | $10253.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |         1 | NC      | $-7458.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-10264.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes                                                                                                  | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5483127 | PA      | $5435123.32   | 3.45%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-4984.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-1066.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-5158.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Trust 2021-C10                                                                                                                   | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1923304 | PA      | $102180.92    | 0.06%             | 2054-07-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |         1 | NC      | $-1105.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |         1 | NC      | $23584.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1462267 | PA      | $1720057.81   | 1.09%             | 2030-07-25      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust         | AmeriCredit Automobile Receivables Trust 2024-1                                                                                        | CUSIP: 023947AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213322 | PA      | $213426.78    | 0.14%             | 2028-02-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |         1 | NC      | $-37904.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-35350.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond                                                                                                    | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 240597900 | PA      | $1781066.50   | 1.13%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   3924982 | PA      | $4512674.96   | 2.86%             | 2040-03-22      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | AU        |         1 | NC      | $12529.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-7263.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |         1 | NC      | $5438.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-11896.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |         1 | NC      | $-12423.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                   | Enterprise Fleet Financing 2025-1 LLC                                                                                                  | CUSIP: 29390HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66000 | PA      | $66189.36     | 0.04%             | 2027-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust           | Santander Drive Auto Receivables Trust 2025-1                                                                                          | CUSIP: 80288DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362786 | PA      | $362905.34    | 0.23%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CH        |         1 | NC      | $35918.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |         1 | NC      | $-639.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4843302 | PA      | $67541.79     | 0.04%             | 2031-01-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-11164.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    376944 | PA      | $352194.63    | 0.22%             | 2050-03-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | GB        |         1 | NC      | $17907.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   1024136 | PA      | $751008.67    | 0.48%             | 2051-05-15      | Fixed         | 0.15%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS Mortgage Trust 2021-C9                                                                                                           | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1296888 | PA      | $87742.76     | 0.06%             | 2054-02-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |         1 | NC      | $659.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | N/A       |         1 | NC      | $4713.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | CAN 10YR BOND FUT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       -27 | NC      | $-15148.95    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |         1 | NC      | $27261.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                              | New Zealand Government Inflation Linked Bond                                                                                           | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   1159958 | PA      | $689979.12    | 0.44%             | 2035-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |         1 | NC      | $4311.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2021-C60                                                                                         | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1416468 | PA      | $92653.46     | 0.06%             | 2054-08-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                       | LAD Auto Receivables Trust 2024-3                                                                                                      | CUSIP: 505709AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131605 | PA      | $131568.16    | 0.08%             | 2027-11-15      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-1404.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond                                                                                                   | CUSIP: 135087B94<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1272317 | PA      | $862026.75    | 0.55%             | 2047-12-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    496068 | PA      | $473789.32    | 0.30%             | 2044-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HAAL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $68190.40     | 0.04%             | 2033-05-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2052125 | PA      | $1723770.92   | 1.09%             | 2052-03-22      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                                                                                                  | CUSIP: 760942AV4<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |  30236733 | PA      | $783310.95    | 0.50%             | 2037-06-26      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2065.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   1387191 | PA      | $1648495.93   | 1.05%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds                                                                                                  | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4120927 | PA      | $3007290.96   | 1.91%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | JP        |         1 | NC      | $-2665.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1417400 | PA      | $63409.80     | 0.04%             | 2031-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust    | Bridgecrest Lending Auto Securitization Trust 2025-1                                                                                   | CUSIP: 10806HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250713 | PA      | $250672.75    | 0.16%             | 2027-09-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |         1 | NC      | $3744.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-4256.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |         1 | NC      | $-929.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        33 | NC      | $29272.51     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 10Y BOND FUT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        33 | NC      | $4686.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1425035 | PA      | $64286.04     | 0.04%             | 2031-01-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK31                                                                                                                        | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3203958 | PA      | $178713.23    | 0.11%             | 2054-02-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                  | Sweden Inflation Linked Bond                                                                                                           | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |  16057483 | PA      | $1649573.87   | 1.05%             | 2032-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B23 Mortgage Trust                                                                                                      | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4220884 | PA      | $211360.79    | 0.13%             | 2054-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-11576.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $228.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-10670.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-127820.67   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $2487.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |         1 | NC      | $-620.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | N/A       |         1 | NC      | $9904.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK35                                                                                                                        | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1283508 | PA      | $57223.29     | 0.04%             | 2064-06-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |         1 | NC      | $25681.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BM11591   IRS USD R V 12MUSCPI SM11591_FLO CCPINFLATIONZERO / Short: BM11591   IRS USD P F  2.63650 SM11591_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4600000 | OU      | $24432.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-27948.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CH        |         1 | NC      | $2309.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   3349357 | PA      | $4400030.93   | 2.79%             | 2031-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $3655.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |         1 | NC      | $1055.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-3933.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1221668 | PA      | $87640.39     | 0.06%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-7820.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |         1 | NC      | $5048.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5886110 | PA      | $139030.52    | 0.09%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B28 Mortgage Trust                                                                                                      | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3878219 | PA      | $208059.46    | 0.13%             | 2054-08-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | SE        |         1 | NC      | $7125.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-56567.24    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    586849 | PA      | $389759.75    | 0.25%             | 2065-11-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes                                                                                                  | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3605574 | PA      | $3556285.96   | 2.26%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-1530.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    221763 | PA      | $159461.67    | 0.10%             | 2073-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    335664 | PA      | $255148.80    | 0.16%             | 2053-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds                                                                                                  | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10081219 | PA      | $7826149.87   | 4.97%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789814 | PA      | $55182.88     | 0.04%             | 2034-09-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |         1 | NC      | $4082.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NO        |         1 | NC      | $322.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | N/A       |         1 | NC      | $82785.44     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-78277.30    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1133380 | PA      | $56402.66     | 0.04%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-2445.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |         1 | NC      | $4159.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1968010 | PA      | $2873727.25   | 1.82%             | 2035-01-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED DKK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | DK        |         1 | NC      | $11477.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | GB        |         1 | NC      | $7690.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | GB        |         1 | NC      | $63749.15     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   9949761 | PA      | $11766037.15  | 7.47%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   6212584 | PA      | $6937502.07   | 4.40%             | 2034-07-25      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1143612 | PA      | $1038596.11   | 0.66%             | 2046-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond                                                                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   1866654 | PA      | $2115376.17   | 1.34%             | 2033-11-30      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | AU        |         1 | NC      | $7545.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $-12320.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | AU        |         1 | NC      | $6499.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: SM11576   IRS USD R V 12MUSCPI SM11576_FLO INFLATIONZERO / Short: SM11576   IRS USD P F  2.48200 SM11576_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   4500000 | OU      | $44139.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond                                                                                                    | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 429533000 | PA      | $3033372.81   | 1.93%             | 2026-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Alinea CLO LTD                                   | Alinea CLO 2018-1 Ltd                                                                                                                  | CUSIP: 016269AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    178459 | PA      | $178363.24    | 0.11%             | 2031-07-20      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    468745 | PA      | $515542.02    | 0.33%             | 2055-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1296638 | PA      | $839011.51    | 0.53%             | 2068-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4635695 | PA      | $135876.86    | 0.09%             | 2031-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                  | 3650R 2021-PF1 Commercial Mortgage Trust                                                                                               | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2061709 | PA      | $80285.03     | 0.05%             | 2054-11-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2356.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio         | MFS Institutional Money Market Portfolio                                                                                               | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | EC               | RF                | US        |   1161081 | NS      | $1161197.44   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709327 | PA      | $43161.84     | 0.03%             | 2031-05-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |         1 | NC      | $73387.48     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |         1 | NC      | $10533.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                           | Chase Auto Owner Trust 2024-5                                                                                                          | CUSIP: 16144QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114870 | PA      | $114796.42    | 0.07%             | 2027-11-26      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-4171.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215840 | PA      | $217229.87    | 0.14%             | 2053-11-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-6093.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   3132202 | PA      | $4045713.56   | 2.57%             | 2037-11-22      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        45 | NC      | $61438.28     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HOWARD UNIVERSITY                                | Howard University                                                                                                                      | CUSIP: 442851AG6<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |     82000 | PA      | $81325.56     | 0.05%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond                                                                                                   | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   5605662 | PA      | $4856662.53   | 3.08%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |         1 | NC      | $891.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |         1 | NC      | $13832.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NO        |         1 | NC      | $-6670.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-29711.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    387271 | PA      | $217386.31    | 0.14%             | 2040-08-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-2887.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes                                                                                                  | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17342580 | PA      | $16067650.20  | 10.20%            | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |         1 | NC      | $580.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HDJK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2662997 | PA      | $44066.48     | 0.03%             | 2029-05-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                      | SBNA Auto Receivables Trust 2025-SF1                                                                                                   | CUSIP: 78437XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104000 | PA      | $104011.37    | 0.07%             | 2031-03-17      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-737.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED USD / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-16858.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch International                      | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              |  | US        |         1 | NC      | $-8282.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2021-L6                                                                                                 | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921940 | PA      | $83464.87     | 0.05%             | 2054-06-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |         1 | NC      | $-85.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137H9AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312339 | PA      | $307337.02    | 0.20%             | 2052-09-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -6 | NC      | $-29647.98    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2021-L5                                                                                                 | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1637391 | PA      | $80888.61     | 0.05%             | 2054-05-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-OAT FUTURE SEP25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        25 | NC      | $-27741.33    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-10713.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |         1 | NC      | $56856.94     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |         1 | NC      | $1441.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-7466.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HJBF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223948 | PA      | $223856.38    | 0.14%             | 2054-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564669 | PA      | $42198.11     | 0.03%             | 2030-04-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |         1 | NC      | $295.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes                                                                                                  | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9220758 | PA      | $9049144.37   | 5.74%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes                                                                                                  | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11014888 | PA      | $10843570.01  | 6.88%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                              | Toledo Hospital/The                                                                                                                    | CUSIP: 889184AF4<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    487000 | PA      | $494311.97    | 0.31%             | 2028-11-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds                                                                                                  | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1422599 | PA      | $1300971.57   | 0.83%             | 2054-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust           | Santander Drive Auto Receivables Trust 2025-1                                                                                          | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $125480.88    | 0.08%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | N/A       |         1 | NC      | $32242.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2115862 | PA      | $2190395.28   | 1.39%             | 2047-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1130491 | PA      | $34322.16     | 0.02%             | 2031-12-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-28320.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                   | Palmer Square Loan Funding 2025-2 Ltd                                                                                                  | CUSIP: 69704AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $625000.00    | 0.40%             | 2033-07-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |         1 | NC      | $1670.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-12038.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    646322 | PA      | $34342.90     | 0.02%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |         1 | NC      | $667.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-6723.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BOBL FUTURE SEP25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -23 | NC      | $-2682.92     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6965967 | PA      | $138606.02    | 0.09%             | 2031-11-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |         1 | NC      | $-1110.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-1290.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | N/A       |         1 | NC      | $179868.24    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | AU        |         1 | NC      | $3428.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2347345 | PA      | $2581854.38   | 1.64%             | 2042-11-22      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |         1 | NC      | $3643.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   2651875 | PA      | $1556424.27   | 0.99%             | 2032-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   2493627 | PA      | $3354298.82   | 2.13%             | 2029-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond                                                                                                   | CUSIP: 135087XQ2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    621924 | PA      | $532381.28    | 0.34%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes                                                                                                  | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9350661 | PA      | $8474598.61   | 5.38%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUXL 30Y BND SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -10 | NC      | $19624.07     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HFP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1264362 | PA      | $39267.16     | 0.02%             | 2029-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds                                                                                                  | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1677146 | PA      | $1655247.74   | 1.05%             | 2040-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |         1 | NC      | $603.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |         1 | NC      | $368.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | N/A       |         1 | NC      | $73802.97     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-68476.25    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-19503.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |         1 | NC      | $103115.48    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6916623 | PA      | $189319.73    | 0.12%             | 2031-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-1024.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |         1 | NC      | $-22416.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    742941 | PA      | $17848.42     | 0.01%             | 2030-01-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B27 Mortgage Trust                                                                                                      | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3195646 | PA      | $168296.47    | 0.11%             | 2054-07-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |         1 | NC      | $2014.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT                                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    497890 | PA      | $415118.94    | 0.26%             | 2047-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt                                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1234760 | PA      | $966058.67    | 0.61%             | 2062-03-22      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CONSERVATION FUND                                | Conservation Fund A Nonprofit Corp/The                                                                                                 | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    312000 | PA      | $294567.10    | 0.19%             | 2029-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer