# EDGAR Filing Document

**Accession Number:** 0000053808
**File Stem:** 0000940400-25-002950
**Filing Date:** 2025-9
**Character Count:** 267089
**Document Hash:** becc8ea4fa6173cc050229f0b0389e61
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-002950.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0000940400-25-002950

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BNY Mellon Investment Funds III
- **CENTRAL INDEX KEY:** 0000053808

**ORGANIZATION NAME:**
- **EIN:** 042694144
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00524
- **FILM NUMBER:** 251350032

**BUSINESS ADDRESS:**
- **STREET 1:** C/O BNY MELLON INVESTMENT ADVISER, INC.
- **STREET 2:** 240 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10286
- **BUSINESS PHONE:** 2129226400

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DREYFUS/LAUREL FUNDS TRUST
- **DATE OF NAME CHANGE:** 20181030

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DREYFUS LAUREL FUNDS TRUST
- **DATE OF NAME CHANGE:** 19941122

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LAUREL FUNDS TRUST
- **DATE OF NAME CHANGE:** 19940202

## Series and Classes Contracts Data

### BNY Mellon International Bond Fund (Series ID: S000005159)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014125 | Class A      | DIBAX           |
| C000014126 | Class C      | DIBCX           |
| C000014127 | Class I      | DIBRX           |
| C000130466 | Class Y      | DIBYX           |

## Nport-Ex

BNY Mellon International Bond Fund

STATEMENT OF INVESTMENTS

July 31, 2025 (Unaudited)

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description |  | Coupon <br>Rate (%)<br>| Maturity <br>Date<br>| Principal <br>Amount ($)<sup>(a)</sup> <br>| Value ($) |
| **Bonds and Notes — 97.7%** | **Bonds and Notes — 97.7%** | **Bonds and Notes — 97.7%** | **Bonds and Notes — 97.7%** | **Bonds and Notes — 97.7%** | **Bonds and Notes — 97.7%** |
| **Australia — 2.8%** |  |  |  |  |  |
| New South Wales Treasury Corp., Govt. Gtd. Notes | AUD | 1.75 | 3/20/2034 | 4126000 | 2098986 |
| Queensland Treasury Corp., Govt. Gtd. Bonds<sup>(b)</sup> <br>| AUD | 1.75 | 7/20/2034 | 575000 | 287907 |
| Treasury Corp. of Victoria, Govt. Gtd. Bonds | AUD | 2.00 | 9/17/2035 | 206000 | 100936 |
| Treasury Corp. of Victoria, Govt. Gtd. Notes | AUD | 4.75 | 9/15/2036 | 1686000 | 1055098 |
| Woolworths Group Ltd., Sr. Unscd. Notes | EUR | 3.75 | 10/25/2032 | 135000 | 157051 |
|  |  |  |  |  | **3699978** |
| **Austria — 1.9%** |  |  |  |  |  |
| Austria, Sr. Unscd. Bonds<sup>(b)</sup> <br>| EUR | 2.90 | 2/20/2034 | 1275000 | 1456103 |
| Kommunalkredit Austria AG, Sr. Notes | EUR | 4.25 | 4/1/2031 | 200000 | 232852 |
| Raiffeisen Bank International AG, Sr. Notes | EUR | 4.63 | 8/21/2029 | 100000 | 119049 |
| Raiffeisen Bank International AG, Sub. Notes | EUR | 2.88 | 6/18/2032 | 600000 | 678248 |
|  |  |  |  |  | **2486252** |
| **Belgium — .6%** |  |  |  |  |  |
| Belgium, Sr. Unscd. Notes, Ser. 98<sup>(b)</sup> <br>| EUR | 3.30 | 6/22/2054 | 775000 | **775555** |
| **Bermuda — .5%** |  |  |  |  |  |
| Athora Holding Ltd., Sub. Notes | EUR | 5.88 | 9/10/2034 | 290000 | 354530 |
| RLGH Finance Bermuda Ltd., Gtd. Notes |  | 8.25 | 7/17/2031 | 295000 | 330325 |
|  |  |  |  |  | **684855** |
| **Brazil — 2.9%** |  |  |  |  |  |
| Brazil Notas do Tesouro Nacional, Notes, Ser. F | BRL | 10.00 | 1/1/2033 | 14720000 | 2183286 |
| Brazil Notas do Tesouro Nacional, Notes, Ser. F | BRL | 10.00 | 1/1/2035 | 12348000 | 1770413 |
|  |  |  |  |  | **3953699** |
| **Canada — 5.6%** |  |  |  |  |  |
| Canada, Bonds | CAD | 1.75 | 12/1/2053 | 1717000 | 808140 |
| Canada, Bonds | CAD | 3.25 | 12/1/2034 | 6050000 | 4307132 |
| Ford Auto Securitization Trust II, Ser. 2022-AA, Cl. A3<sup>(b)</sup> <br>| CAD | 5.40 | 9/15/2028 | 1107000 | 816388 |
| GFL Environmental, Inc., Sr. Scd. Notes<sup>(b)</sup> <br>|  | 6.75 | 1/15/2031 | 400000 | 415035 |
| Magna International, Inc., Sr. Unscd. Notes | EUR | 3.63 | 5/21/2031 | 160000 | 184470 |
| Province of Ontario Canada, Sr. Unscd. Notes | CAD | 4.60 | 12/2/2055 | 910000 | 657471 |
| Province of Quebec Canada, Sr. Unscd. Debs. | CAD | 4.40 | 12/1/2055 | 405000 | 281659 |
|  |  |  |  |  | **7470295** |
| **Cayman Islands — .4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Regatta XXV Funding Ltd. CLO, Ser. 2023-1A, Cl. A1R, (3 Month TSFR <br> +1.34%)<sup>(b),(c)</sup> <br>|  | 5.67 | 7/15/2038 | 600000 | **602250** |
| **China — 6.5%** |  |  |  |  |  |
| China, Bonds, Ser. INBK | CNY | 1.61 | 2/15/2035 | 24740000 | 3401195 |
| China, Bonds, Ser. INBK | CNY | 1.92 | 1/15/2055 | 15990000 | 2186345 |
| China, Bonds, Ser. INBK | CNY | 2.60 | 9/1/2032 | 3650000 | 538452 |
| China, Bonds, Ser. INBK | CNY | 3.00 | 10/15/2053 | 2950000 | 503380 |
| China, Bonds, Ser. INBK | CNY | 3.73 | 5/25/2070 | 9970000 | 2072489 |
|  |  |  |  |  | **8701861** |
| **Colombia — 1.1%** |  |  |  |  |  |
| Colombia, Sr. Unscd. Notes |  | 8.38 | 11/7/2054 | 217000 | 212044 |
| Colombian TES, Bonds, Ser. B | COP | 13.25 | 2/9/2033 | 4775000000 | 1217925 |
|  |  |  |  |  | **1429969** |
| **Czechia — .1%** |  |  |  |  |  |
| Czech Republic, Sr. Unscd. Bonds, Ser. 156 | CZK | 3.00 | 3/3/2033 | 4180000 | **179218** |

---

**3**

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description |  | Coupon<br> Rate (%)<br>| Maturity<br> Date<br>| Principal<br> Amount ($)<sup>(a)</sup><br>| Value ($) |
| **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** |
| **Denmark — .2%** |  |  |  |  |  |
| Denmark, Bonds | DKK | 4.50 | 11/15/2039 | 1500000 | **276766** |
| **Finland — .4%** |  |  |  |  |  |
| Finland, Sr. Unscd. Bonds, Ser. 10Y<sup>(b)</sup> <br>| EUR | 3.00 | 9/15/2033 | 500000 | **574693** |
| **France — 4.0%** |  |  |  |  |  |
| BNP Paribas SA, Sr. Notes<sup>(b)</sup> <br>|  | 5.79 | 1/13/2033 | 260000 | 269934 |
| Electricite de France SA, Sr. Unscd. Notes | EUR | 4.75 | 6/17/2044 | 100000 | 115531 |
| France, Bonds, Ser. OAT<sup>(b)</sup> <br>| EUR | 2.75 | 2/25/2029 | 325000 | 375253 |
| France, Bonds, Ser. OAT<sup>(b)</sup> <br>| EUR | 3.00 | 5/25/2054 | 160000 | 149003 |
| France, Bonds, Ser. OAT<sup>(b)</sup> <br>| EUR | 3.25 | 5/25/2055 | 950000 | 922666 |
| France, Bonds, Ser. OAT<sup>(b)</sup> <br>| EUR | 4.00 | 10/25/2038 | 960000 | 1140460 |
| Kering SA, Sr. Unscd. Notes | EUR | 3.63 | 9/5/2031 | 800000 | 922967 |
| Orange SA, Sr. Unscd. Notes | EUR | 3.50 | 5/19/2035 | 400000 | 459621 |
| Pernod Ricard SA, Sr. Unscd. Notes | EUR | 3.25 | 3/3/2032 | 200000 | 226417 |
| Suez SACA, Sr. Unscd. Notes | EUR | 5.00 | 11/3/2032 | 400000 | 499997 |
| TotalEnergies Capital International SA, Gtd. Notes | EUR | 3.85 | 3/3/2045 | 300000 | 321567 |
|  |  |  |  |  | **5403416** |
| **Germany — 4.1%** |  |  |  |  |  |
| Aareal Bank AG, Sub. Notes | EUR | 5.63 | 12/12/2034 | 200000 | 238634 |
| Amprion GmbH, Sr. Unscd. Notes | EUR | 3.97 | 9/22/2032 | 500000 | 594335 |
| Bundesschatzanweisungen, Bonds | EUR | 2.20 | 3/11/2027 | 1800000 | 2063138 |
| Deutsche Bahn AG, Sr. Unscd. Notes | EUR | 0.63 | 4/15/2036 | 180000 | 155561 |
| Deutsche Bahn AG, Sr. Unscd. Notes | EUR | 1.13 | 5/29/2051 | 280000 | 177962 |
| Deutsche Bahn AG, Sr. Unscd. Notes | EUR | 1.38 | 3/3/2034 | 400000 | 394925 |
| Deutsche Bahn AG, Sr. Unscd. Notes | EUR | 1.63 | 8/16/2033 | 460000 | 472398 |
| Deutsche Bahn AG, Sr. Unscd. Notes | EUR | 1.88 | 5/24/2030 | 495000 | 548821 |
| Deutsche Telekom AG, Sr. Unscd. Notes | EUR | 3.63 | 2/3/2045 | 150000 | 161049 |
| Hamburg Commercial Bank AG, Sr. Notes | EUR | 4.50 | 7/24/2028 | 500000 | 592488 |
| Merck KGaA, Jr. Sub. Notes | EUR | 3.88 | 8/27/2054 | 100000 | 115236 |
|  |  |  |  |  | **5514547** |
| **Greece — .2%** |  |  |  |  |  |
| Hellenic Republic, Sr. Unscd. Notes<sup>(b)</sup> <br>| EUR | 4.38 | 7/18/2038 | 247000 | **303128** |
| **Hungary — .1%** |  |  |  |  |  |
| Hungary, Bonds, Ser. 33A | HUF | 2.25 | 4/20/2033 | 44000000 | **91159** |
| **Indonesia — .5%** |  |  |  |  |  |
| Indonesia, Bonds, Ser. FR83 | IDR | 7.50 | 4/15/2040 | 10580000000 | **678251** |
| **Ireland — .4%** |  |  |  |  |  |
| Ireland, Unscd. Bonds | EUR | 2.60 | 10/18/2034 | 525000 | **584493** |
| **Italy — 5.2%** |  |  |  |  |  |
| Autostrade per l'Italia SpA, Sr. Unscd. Notes | EUR | 4.63 | 2/28/2036 | 216000 | 256198 |
| Eni SpA, Sr. Unscd. Notes<sup>(b)</sup> <br>|  | 5.50 | 5/15/2034 | 200000 | 201882 |
| Eni SpA, Sr. Unscd. Notes<sup>(b)</sup> <br>|  | 5.95 | 5/15/2054 | 442000 | 426556 |
| Italy Buoni Poliennali Del Tesoro, Sr. Unscd. Bonds, Ser. 10Y | EUR | 4.40 | 5/1/2033 | 2125000 | 2634115 |
| Italy Buoni Poliennali Del Tesoro, Sr. Unscd. Bonds, Ser. 30Y<sup>(b)</sup> <br>| EUR | 2.45 | 9/1/2050 | 1785000 | 1499058 |
| Italy Buoni Poliennali Del Tesoro, Sr. Unscd. Notes, Ser. 30Y<sup>(b)</sup> <br>| EUR | 4.30 | 10/1/2054 | 1780000 | 2022802 |
|  |  |  |  |  | **7040611** |
| **Japan — 8.1%** |  |  |  |  |  |
| Japan (20 Year Issue), Bonds, Ser. 183 | JPY | 1.40 | 12/20/2042 | 249250000 | 1428990 |
| Japan (20 Year Issue), Bonds, Ser. 184 | JPY | 1.10 | 3/20/2043 | 427800000 | 2319824 |
| Japan (30 Year Issue), Bonds, Ser. 66 | JPY | 0.40 | 3/20/2050 | 165000000 | 626557 |
| Japan (30 Year Issue), Bonds, Ser. 69 | JPY | 0.70 | 12/20/2050 | 122050000 | 492832 |

---

**4**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description |  | Coupon<br> Rate (%)<br>| Maturity<br> Date<br>| Principal<br> Amount ($)<sup>(a)</sup><br>| Value ($) |
| **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** |
| **Japan — 8.1% (continued)** |  |  |  |  |  |
| Japan (30 Year Issue), Bonds, Ser. 83 | JPY | 2.20 | 6/20/2054 | 486000000 | 2705267 |
| Japan (40 Year Issue), Bonds, Ser. 15 | JPY | 1.00 | 3/20/2062 | 132100000 | 466059 |
| Japan (40 Year Issue), Bonds, Ser. 17 | JPY | 2.20 | 3/20/2064 | 461800000 | 2349001 |
| Mitsubishi UFJ Financial Group, Inc., Sr. Unscd. Notes |  | 5.16 | 4/24/2031 | 200000 | 204299 |
| Mitsubishi UFJ Financial Group, Inc., Sr. Unscd. Notes |  | 5.62 | 4/24/2036 | 270000 | 279007 |
|  |  |  |  |  | **10871836** |
| **Jersey — 1.3%** |  |  |  |  |  |
| AA Bond Co. Ltd., Sr. Scd. Notes, Ser. A8 | GBP | 5.50 | 7/31/2027 | 290000 | 385808 |
| &nbsp;&nbsp;&nbsp; Ballyrock 24 Ltd. CLO, Ser. 2023-24A, Cl. A1R, (3 Month TSFR <br> +1.32%)<sup>(b),(c)</sup> <br>|  | 5.65 | 7/15/2038 | 545000 | 546494 |
| Heathrow Funding Ltd., Sr. Scd. Notes | EUR | 1.88 | 3/14/2034 | 240000 | 238543 |
| Invesco US Ltd. CLO, Ser. 2023-3A, Cl. AR, (3 Month TSFR +1.31%)<sup>(b),(c)</sup> <br>|  | 5.63 | 7/15/2038 | 575000 | 576505 |
|  |  |  |  |  | **1747350** |
| **Luxembourg — .5%** |  |  |  |  |  |
| Becton Dickinson Euro Finance Sarl, Gtd. Notes | EUR | 1.34 | 8/13/2041 | 200000 | 154645 |
| P3 Group Sarl, Sr. Unscd. Notes | EUR | 4.00 | 4/19/2032 | 400000 | 460533 |
|  |  |  |  |  | **615178** |
| **Malaysia — 1.0%** |  |  |  |  |  |
| Malaysia, Bonds, Ser. 318 | MYR | 4.64 | 11/7/2033 | 5100000 | **1299212** |
| **Mexico — .5%** |  |  |  |  |  |
| Mexican Bonos, Bonds, Ser. M | MXN | 7.50 | 5/26/2033 | 14000000 | **674727** |
| **Netherlands — 2.4%** |  |  |  |  |  |
| DSV Finance BV, Gtd. Notes | EUR | 3.38 | 11/6/2034 | 125000 | 141668 |
| Enel Finance International NV, Gtd. Notes | EUR | 3.88 | 1/23/2035 | 120000 | 139980 |
| JT International Financial Services BV, Gtd. Notes | EUR | 4.13 | 6/17/2035 | 602000 | 698260 |
| Netherlands, Bonds<sup>(b)</sup> <br>| EUR | 2.50 | 7/15/2034 | 1350000 | 1508550 |
| Sartorius Finance BV, Gtd. Notes | EUR | 4.50 | 9/14/2032 | 400000 | 479557 |
| Sartorius Finance BV, Gtd. Notes | EUR | 4.88 | 9/14/2035 | 100000 | 121321 |
| Unilever Finance Netherlands BV, Gtd. Notes | EUR | 3.50 | 2/23/2035 | 100000 | 115465 |
|  |  |  |  |  | **3204801** |
| **New Zealand — 4.0%** |  |  |  |  |  |
| New Zealand, Unscd. Bonds, Ser. 433 | NZD | 3.50 | 4/14/2033 | 4345000 | 2426991 |
| New Zealand, Unscd. Bonds, Ser. 532 | NZD | 2.00 | 5/15/2032 | 2740000 | 1407333 |
| New Zealand, Unscd. Bonds, Ser. 534 | NZD | 4.25 | 5/15/2034 | 2540000 | 1477903 |
|  |  |  |  |  | **5312227** |
| **Norway — .2%** |  |  |  |  |  |
| Telenor ASA, Sr. Unscd. Notes | EUR | 0.63 | 9/25/2031 | 242000 | **239005** |
| **Peru — .1%** |  |  |  |  |  |
| Peru, Sr. Unscd. Bonds<sup>(b)</sup> <br>| PEN | 7.30 | 8/12/2033 | 440000 | **133717** |
| **Poland — .4%** |  |  |  |  |  |
| Bank Millennium SA, Sr. Notes | EUR | 5.31 | 9/25/2029 | 165000 | 197972 |
| Poland, Bonds, Ser. 1033 | PLN | 6.00 | 10/25/2033 | 1375000 | 384900 |
|  |  |  |  |  | **582872** |
| **Portugal — .4%** |  |  |  |  |  |
| Portugal Obrigacoes do Tesouro OT, Sr. Unscd. Notes, Ser. 11Y<sup>(b)</sup> <br>| EUR | 2.88 | 10/20/2034 | 450000 | **507624** |
| **Romania — .7%** |  |  |  |  |  |
| Romania, Bonds, Ser. 10Y | RON | 7.20 | 10/30/2033 | 1200000 | 268884 |
| Romania, Sr. Unscd. Notes<sup>(b)</sup> <br>| EUR | 5.25 | 5/30/2032 | 318000 | 367497 |
| Romania, Sr. Unscd. Notes |  | 6.38 | 1/30/2034 | 276000 | 275810 |
|  |  |  |  |  | **912191** |

---

**5**

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description |  | Coupon<br> Rate (%)<br>| Maturity<br> Date<br>| Principal<br> Amount ($)<sup>(a)</sup><br>| Value ($) |
| **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** |
| **Saudi Arabia — .2%** |  |  |  |  |  |
| Saudi Arabia, Sr. Unscd. Notes<sup>(b)</sup> <br>| EUR | 3.38 | 3/5/2032 | 219000 | **251001** |
| **Singapore — .5%** |  |  |  |  |  |
| Singapore, Bonds | SGD | 3.38 | 9/1/2033 | 875000 | **739949** |
| **South Korea — 1.6%** |  |  |  |  |  |
| Korea, Bonds, Ser. 3212 | KRW | 4.25 | 12/10/2032 | 1193700000 | 948129 |
| Korea, Bonds, Ser. 5209 | KRW | 3.13 | 9/10/2052 | 1485000000 | 1148613 |
|  |  |  |  |  | **2096742** |
| **Spain — 4.0%** |  |  |  |  |  |
| Banco Santander SA, Sr. Notes | EUR | 4.88 | 10/18/2031 | 500000 | 621203 |
| Cellnex Finance Co. SA, Gtd. Notes | EUR | 2.00 | 2/15/2033 | 100000 | 102867 |
| Cellnex Finance Co. SA, Gtd. Notes | EUR | 2.00 | 9/15/2032 | 300000 | 311282 |
| Spain, Sr. Unscd. Bonds<sup>(b)</sup> <br>| EUR | 0.70 | 4/30/2032 | 3875000 | 3852838 |
| Spain, Sr. Unscd. Bonds<sup>(b)</sup> <br>| EUR | 3.25 | 4/30/2034 | 75000 | 86601 |
| Spain, Sr. Unscd. Notes<sup>(b)</sup> <br>| EUR | 3.45 | 10/31/2034 | 375000 | 438118 |
|  |  |  |  |  | **5412909** |
| **Supranational — 1.6%** |  |  |  |  |  |
| European Union, Sr. Unscd. Bonds, Ser. UFA | EUR | 3.00 | 3/4/2053 | 548963 | 537950 |
| European Union, Sr. Unscd. Notes, Ser. SURE | EUR | 0.20 | 6/4/2036 | 1475000 | 1230172 |
| European Union, Sr. Unscd. Notes, Ser. UFA | EUR | 3.75 | 10/12/2045 | 361811 | 414522 |
|  |  |  |  |  | **2182644** |
| **Sweden — .4%** |  |  |  |  |  |
| Sweden, Bonds, Ser. 1066 | SEK | 2.25 | 5/11/2035 | 3575000 | 359673 |
| Telia Co. AB, Sr. Unscd. Notes | EUR | 3.63 | 2/22/2032 | 105000 | 123078 |
|  |  |  |  |  | **482751** |
| **Switzerland — 1.3%** |  |  |  |  |  |
| Swiss Confederation, Bonds | CHF | 0.50 | 6/27/2032 | 1390000 | **1747874** |
| **United Kingdom — 10.8%** |  |  |  |  |  |
| Gemgarto PLC, Ser. 2021-1A, Cl. A, (3 Month SONIO +0.89%)<sup>(b),(c)</sup> <br>| GBP | 5.12 | 12/16/2067 | 99115 | 131141 |
| Motability Operations Group PLC, Gtd. Notes | EUR | 3.88 | 1/24/2034 | 245000 | 284208 |
| National Grid PLC, Sr. Unscd. Notes | EUR | 0.75 | 9/1/2033 | 770000 | 707762 |
| National Grid PLC, Sr. Unscd. Notes | EUR | 3.25 | 3/30/2034 | 125000 | 138645 |
| Northumbrian Water Finance PLC, Gtd. Notes | GBP | 6.38 | 10/28/2034 | 519000 | 710325 |
| Rio Tinto Finance USA PLC, Gtd. Notes |  | 5.00 | 3/14/2032 | 160000 | 162591 |
| Severn Trent Utilities Finance PLC, Gtd. Notes | GBP | 5.25 | 4/4/2036 | 108000 | 138784 |
| &nbsp;&nbsp;&nbsp; Tower Bridge Funding PLC, Ser. 2021-2, Cl. A, (3 Month SONIO <br> +0.78%)<sup>(c)</sup> <br>| GBP | 5.02 | 11/20/2063 | 181778 | 240204 |
| United Kingdom Gilt, Bonds | GBP | 1.50 | 7/31/2053 | 5500000 | 3235683 |
| United Kingdom Gilt, Bonds | GBP | 4.25 | 7/31/2034 | 2200000 | 2853655 |
| United Kingdom Gilt, Bonds | GBP | 4.38 | 7/31/2054 | 2350000 | 2650493 |
| United Kingdom Gilt, Bonds | GBP | 4.50 | 6/7/2028 | 2350000 | 3158204 |
| Yorkshire Water Finance PLC, Sr. Scd. Bonds | GBP | 6.60 | 4/17/2031 | 100000 | 138929 |
|  |  |  |  |  | **14550624** |
| **United States — 20.2%** |  |  |  |  |  |
| A&D Mortgage Trust, Ser. 2023-NQM2, Cl. A1<sup>(b)</sup> <br>|  | 6.13 | 5/25/2068 | 310373 | 310875 |
| Alexandria Real Estate Equities, Inc., Gtd. Notes |  | 5.25 | 5/15/2036 | 243000 | 239432 |
| Aligned Data Centers Issuer LLC, Ser. 2023-1A, Cl. A2<sup>(b)</sup> <br>|  | 6.00 | 8/17/2048 | 379000 | 381129 |
| Alphabet, Inc., Sr. Unscd. Notes | EUR | 3.88 | 5/6/2045 | 292000 | 331060 |
| Alphabet, Inc., Sr. Unscd. Notes | EUR | 4.00 | 5/6/2054 | 149000 | 168419 |
| AT&T, Inc., Sr. Unscd. Notes | EUR | 3.60 | 6/1/2033 | 100000 | 115910 |
| AutoNation Finance Trust, Ser. 2025-1A, Cl. A3<sup>(b)</sup> <br>|  | 4.62 | 11/13/2029 | 113000 | 113488 |

---

**6**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description |  | Coupon<br> Rate (%)<br>| Maturity<br> Date<br>| Principal<br> Amount ($)<sup>(a)</sup><br>| Value ($) |
| **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** |
| **United States — 20.2% (continued)** |  |  |  |  |  |
| Avis Budget Rental Car Funding AESOP LLC, Ser. 2023-8A, Cl. A<sup>(b)</sup> <br>|  | 6.02 | 2/20/2030 | 261000 | 272820 |
| Avis Budget Rental Car Funding AESOP LLC, Ser. 2025-2A, Cl. A<sup>(b)</sup> <br>|  | 5.12 | 8/20/2031 | 160000 | 162728 |
| Bank of America Corp., Sr. Unscd. Notes | EUR | 3.49 | 3/10/2034 | 130000 | 148777 |
| Carrier Global Corp., Sr. Unscd. Notes |  | 5.90 | 3/15/2034 | 240000 | 254246 |
| COLT Mortgage Loan Trust, Ser. 2023-2, Cl. A1<sup>(b)</sup> <br>|  | 6.60 | 7/25/2068 | 191035 | 192087 |
| COLT Mortgage Loan Trust, Ser. 2023-4, Cl. A1<sup>(b)</sup> <br>|  | 7.16 | 10/25/2068 | 365521 | 370560 |
| CyrusOne Data Centers Issuer I LLC, Ser. 2023-1A, Cl. B<sup>(b)</sup> <br>|  | 5.45 | 4/20/2048 | 109027 | 106186 |
| CyrusOne Data Centers Issuer I LLC, Ser. 2023-2A, Cl. A2<sup>(b)</sup> <br>|  | 5.56 | 11/20/2048 | 394000 | 396826 |
| Energy Transfer LP, Sr. Unscd. Notes |  | 6.05 | 9/1/2054 | 140000 | 134425 |
| ENT Auto Receivables Trust, Ser. 2023-1A, Cl. A3<sup>(b)</sup> <br>|  | 6.24 | 1/16/2029 | 190903 | 192283 |
| FMC Corp., Sr. Unscd. Notes |  | 5.65 | 5/18/2033 | 150000 | 147856 |
| Ford Motor Co., Sr. Unscd. Notes |  | 3.25 | 2/12/2032 | 130000 | 110196 |
| Ford Motor Credit Co. LLC, Sr. Unscd. Notes |  | 5.80 | 3/8/2029 | 200000 | 200459 |
| General Mills, Inc., Sr. Unscd. Bonds | EUR | 3.60 | 4/17/2032 | 240000 | 276565 |
| General Motors Financial Co., Inc., Sr. Unscd. Notes | EUR | 4.00 | 7/10/2030 | 100000 | 118093 |
| General Motors Financial Co., Inc., Sr. Unscd. Notes |  | 5.63 | 4/4/2032 | 168000 | 170752 |
| JPMorgan Chase & Co., Sr. Unscd. Notes |  | 5.77 | 4/22/2035 | 220000 | 230818 |
| Morgan Stanley, Sr. Unscd. Notes |  | 5.25 | 4/21/2034 | 340000 | 345619 |
| Morgan Stanley, Sr. Unscd. Notes |  | 6.63 | 11/1/2034 | 236000 | 260365 |
| Mosaic Solar Loan Trust, Ser. 2023-2A, Cl. A<sup>(b)</sup> <br>|  | 5.36 | 9/22/2053 | 218863 | 208333 |
| PepsiCo, Inc., Sr. Unscd. Notes | EUR | 1.13 | 3/18/2031 | 145000 | 150449 |
| Rentokil Terminix Funding LLC, Gtd. Notes<sup>(b)</sup> <br>|  | 5.00 | 4/28/2030 | 340000 | 341650 |
| Retained Vantage Data Centers Issuer LLC, Ser. 2023-1A, Cl. A2A<sup>(b)</sup> <br>|  | 5.00 | 9/15/2048 | 515000 | 508475 |
| SBA Tower Trust, Asset Backed Notes<sup>(b)</sup> <br>|  | 2.59 | 10/15/2031 | 695000 | 602852 |
| Southwestern Public Service Co., First Mortgage Bonds |  | 5.30 | 5/15/2035 | 210000 | 210758 |
| Stack Infrastructure Issuer LLC, Ser. 2023-1A, Cl. A2<sup>(b)</sup> <br>|  | 5.90 | 3/25/2048 | 150000 | 150471 |
| Stellantis Finance US, Inc., Gtd. Notes<sup>(b)</sup> <br>|  | 5.75 | 3/18/2030 | 200000 | 200503 |
| Store Capital LLC, Sr. Unscd. Notes<sup>(b)</sup> <br>|  | 5.40 | 4/30/2030 | 70000 | 70866 |
| Sunnova Hestia I Issuer LLC, Ser. 2023-GRID1, Cl. 1A<sup>(b)</sup> <br>|  | 5.75 | 12/20/2050 | 88762 | 89034 |
| Take-Two Interactive Software, Inc., Sr. Unscd. Notes |  | 5.60 | 6/12/2034 | 70000 | 72235 |
| The AES Corp., Sr. Unscd. Notes |  | 5.80 | 3/15/2032 | 84000 | 85339 |
| The Dow Chemical Company, Sr. Unscd. Notes |  | 5.95 | 3/15/2055 | 290000 | 268980 |
| The Goldman Sachs Group, Inc., Sr. Unscd. Notes |  | 5.85 | 4/25/2035 | 194000 | 203346 |
| The Williams Companies, Inc., Sr. Unscd. Notes |  | 5.60 | 3/15/2035 | 350000 | 357944 |
| U.S. Treasury Notes<sup>(d)</sup> <br>|  | 3.88 | 5/31/2027 | 1100000 | 1098152 |
| U.S. Treasury Notes<sup>(d),(e)</sup> <br>|  | 4.00 | 2/28/2030 | 1100000 | 1103158 |
| U.S. Treasury Notes<sup>(e)</sup> <br>|  | 4.00 | 3/31/2030 | 2075000 | 2080147 |
| U.S. Treasury Notes |  | 4.25 | 5/15/2035 | 2125000 | 2106572 |
| U.S. Treasury Notes<sup>(d),(e)</sup> <br>|  | 4.63 | 2/15/2035 | 1525000 | 1558478 |
| Vantage Data Centers Issuer LLC, Ser. 2023-1A, Cl. A2<sup>(b)</sup> <br>|  | 6.32 | 3/16/2048 | 583000 | 585343 |
| Verus Securitization Trust, Ser. 2023-4, Cl. A1<sup>(b)</sup> <br>|  | 5.81 | 5/25/2068 | 176460 | 176505 |
| Verus Securitization Trust, Ser. 2023-5, Cl. A1<sup>(b)</sup> <br>|  | 6.48 | 6/25/2068 | 183102 | 183978 |
| WEA Finance LLC, Gtd. Notes<sup>(b)</sup> <br>|  | 2.88 | 1/15/2027 | 380000 | 369837 |
| WEA Finance LLC, Gtd. Notes |  | 2.88 | 1/15/2027 | 283000 | 275431 |
| WEA Finance LLC, Gtd. Notes<sup>(b)</sup> <br>|  | 4.13 | 9/20/2028 | 93000 | 91207 |
| WEA Finance LLC, Gtd. Notes<sup>(b)</sup> <br>|  | 4.63 | 9/20/2048 | 111000 | 87801 |
| WEA Finance LLC/Westfield UK & Europe Finance PLC, Gtd. Notes<sup>(b)</sup> <br>|  | 4.75 | 9/17/2044 | 456000 | 380617 |
| Wells Fargo & Co., Sr. Unscd. Notes |  | 5.50 | 1/23/2035 | 240000 | 246044 |
| Wells Fargo & Co., Sr. Unscd. Notes |  | 6.49 | 10/23/2034 | 220000 | 240610 |
| TIF Funding III LLC, Ser. 2024-1A, Cl. A<sup>(b)</sup> <br>|  | 5.48 | 4/20/2049 | 514800 | 510147 |

---

**7**

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Coupon<br> Rate (%)<br>| Maturity<br> Date<br>| Principal<br> Amount ($)<sup>(a)</sup><br>| Value ($) |
| **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** | **Bonds and Notes — 97.7% (continued)** |
| **United States — 20.2% (continued)** |  |  |  |  |
| Federal Home Loan Mortgage Corp.: |  |  |  |  |
| 5.50, 7/1/2054-2/1/2055<sup>(f)</sup> <br>|  |  | 1282673 | 1287522 |
| 6.00, 11/1/2054<sup>(f)</sup> <br>|  |  | 756442 | 775043 |
| Federal National Mortgage Association: |  |  |  |  |
| 5.00, 10/1/2054<sup>(f)</sup> <br>|  |  | 956610 | 935970 |
| 5.50, 9/1/2054-10/1/2054<sup>(f)</sup> <br>|  |  | 1780288 | 1785737 |
| 6.00, 6/1/2054-1/1/2055<sup>(f)</sup> <br>|  |  | 1828834 | 1875747 |
|  |  |  |  | **27027255** |
| &nbsp;&nbsp;&nbsp; **Total Bonds and Notes** <br>(cost $132,477,395)<br>|  |  |  | **131043485** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description/Number of Contracts /Counterparty |  | Exercise <br>Price<br>| Expiration <br>Date<br>| Notional <br>Amount ($)<br>|  |
| **Options Purchased — .0%** |  |  |  |  |  |
| **Put Options — .0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Swaption Payer Markit CDX North America Investment Grade Index <br> Series 43, Payer 3 Month Fixed Rate of 1.00% terminating on <br> 06/20/2030, Contracts 9,200,000, Goldman Sachs & Co. LLC<br>| EUR | 0.58 | 8/20/2025 | 9200000 | 5589 |
| &nbsp;&nbsp;&nbsp; Swaption Payer Markit CDX North America Investment Grade Index <br> Series 44, Payer 3 Month Fixed Rate of 1.00% terminating on <br> 06/20/2030, Contracts 13,350,000, Goldman Sachs & Co. LLC<br>|  | 0.53 | 8/20/2025 | 13350000 | 9844 |
| &nbsp;&nbsp;&nbsp; **Total Options Purchased** <br>(cost $28,897)<br>|  |  |  |  | **15433** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
| Description | 1-Day <br>Yield (%)<br>| Shares |  |
| **Investment Companies — .6%** |  |  |  |
| **Registered Investment Companies — .6%** |  |  |  |
| &nbsp;&nbsp;&nbsp; Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional <br> Shares<sup>(g)</sup> <br>(cost $785,182)<br>| 4.43 | 785182 | **785182** |
| **Total Investments** (cost $133,291,474) |  | **98.3%**<br>| **131844100** |
| **Cash and Receivables (Net)** |  | **1.7%**<br>| **2269047** |
| **Net Assets** |  | **100.0%**<br>| **134113147** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| *AUD—Australian Dollar* |
| *BRL—Brazilian Real* |
| *CAD—Canadian Dollar* |
| *CHF—Swiss Franc* |
| *CNY—Chinese Yuan Renminbi* |
| *COP—Colombian Peso* |
| *CZK—Czech Koruna* |
| *DKK—Danish Krone* |
| *EUR—Euro* |
| *GBP—British Pound* |
| *HUF—Hungarian Forint* |
| *IDR—Indonesian Rupiah* |
| *JPY—Japanese Yen* |
| *KRW—South Korean Won* |
| *MXN—Mexican Peso* |

---

**8**

------

---

| |
|:---|
| *MYR—Malaysian Ringgit* |
| *NZD—New Zealand Dollar* |
| *PEN—Peruvian Sol* |
| *PLN—Polish Zloty* |
| *RON—Romanian New Leu* |
| *SEK—Swedish Krona* |
| *SGD—Singapore Dollar* |
| *SONIO—Sterling Overnight Index Average* |
| *TSFR—Term Secured Overnight Financing Rate Reference Rates* |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> *Amount stated in U.S. Dollars unless otherwise noted above.*

<sup>(b)</sup> *Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from* *registration, normally to qualified institutional buyers. At July 31, 2025, these securities amounted to $27,695,360 or 20.7% of net assets.* 

<sup>(c)</sup> *Variable rate security—Interest rate resets periodically and the rate shown is the interest rate in effect at period end. Security description also includes the* *reference rate and spread if published and available.* 

<sup>(d)</sup> *Security, or portion thereof, on loan. At July 31, 2025, the value of the fund's securities on loan was $2,999,496 and the value of the collateral was* *$3,103,014, consisting of U.S. Government & Agency securities. In addition, the value of collateral may include pending sales that are also on loan.* 

<sup>(e)</sup> *Held or partially held by a broker as collateral for open over-the-counter derivative contracts.*

<sup>(f)</sup> *The Federal Housing Finance Agency ("FHFA") placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into* *conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.* 

<sup>(g)</sup> *Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company's* *prospectus.* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Futures** | **Futures** | **Futures** | **Futures** | **Futures** | **Futures** |
| Description | Number of <br>Contracts<br>| Expiration | Notional <br>Value ($)<br>| Market <br>Value ($)<br>| Unrealized <br>Appreciation <br>(Depreciation) ($)<br>|
| **Futures Long** |  |  |  |  |  |
| 5 Year U.S. Treasury Note | &nbsp;&nbsp; 379 | &nbsp;&nbsp; 9/30/2025 | &nbsp;&nbsp; 40813743 | &nbsp;&nbsp; 40997143 | &nbsp;&nbsp;&nbsp;&nbsp; 183400 |
| 10 Year U.S. Treasury Note | &nbsp;&nbsp; 13 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp; 1444585 | &nbsp;&nbsp; 1443813 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (772) |
| Euro-Bobl | &nbsp;&nbsp; 76 | &nbsp;&nbsp; 9/8/2025 | &nbsp;&nbsp; 10225991<sup>(a)</sup> <br>| &nbsp;&nbsp; 10170967 | &nbsp;&nbsp;&nbsp; (55024) |
| Euro-Schatz | &nbsp;&nbsp; 108 | &nbsp;&nbsp; 9/8/2025 | &nbsp;&nbsp; 13240799<sup>(a)</sup> <br>| &nbsp;&nbsp; 13193869 | &nbsp;&nbsp;&nbsp; (46930) |
| U.S. Treasury Long-Term Bond | &nbsp;&nbsp; 22 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp; 2437342 | &nbsp;&nbsp; 2512125 | &nbsp;&nbsp;&nbsp;&nbsp; 74783 |
| Ultra 10 Year U.S. Treasury Note | &nbsp;&nbsp; 164 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp; 18599925 | &nbsp;&nbsp; 18544813 | &nbsp;&nbsp;&nbsp; (55112) |
| **Futures Short** |  |  |  |  |  |
| 2 Year U.S. Treasury Note | &nbsp;&nbsp; 118 | &nbsp;&nbsp; 9/30/2025 | &nbsp;&nbsp; 24448000 | &nbsp;&nbsp; 24424156 | &nbsp;&nbsp;&nbsp;&nbsp; 23844 |
| Australian 3-Year Treasury Bond | &nbsp;&nbsp; 178 | &nbsp;&nbsp; 9/15/2025 | &nbsp;&nbsp; 12325561<sup>(a)</sup> <br>| &nbsp;&nbsp; 12275586 | &nbsp;&nbsp;&nbsp;&nbsp; 49975 |
| Australian 10-Year Treasury Bond | &nbsp;&nbsp; 18 | &nbsp;&nbsp; 9/15/2025 | &nbsp;&nbsp; 1315771<sup>(a)</sup> <br>| &nbsp;&nbsp; 1316251 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (480) |
| Canadian 10 Year Bond | &nbsp;&nbsp; 32 | &nbsp;&nbsp; 9/18/2025 | &nbsp;&nbsp; 2786539<sup>(a)</sup> <br>| &nbsp;&nbsp; 2783372 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3167 |
| Euro-Bund | &nbsp;&nbsp; 17 | &nbsp;&nbsp; 9/8/2025 | &nbsp;&nbsp; 2517408<sup>(a)</sup> <br>| &nbsp;&nbsp; 2516231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1177 |
| Euro-Buxl 30 Year Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 9/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 552163<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 535817 | &nbsp;&nbsp;&nbsp;&nbsp; 16346 |
| Euro-OAT | &nbsp;&nbsp; 12 | &nbsp;&nbsp; 9/8/2025 | &nbsp;&nbsp; 1702454<sup>(a)</sup> <br>| &nbsp;&nbsp; 1688383 | &nbsp;&nbsp;&nbsp;&nbsp; 14071 |
| Japanese 10 Year Bond | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 9/12/2025 | &nbsp;&nbsp; 4598110<sup>(a)</sup> <br>| &nbsp;&nbsp; 4576592 | &nbsp;&nbsp;&nbsp;&nbsp; 21518 |
| Long Gilt | &nbsp;&nbsp; 56 | &nbsp;&nbsp; 9/26/2025 | &nbsp;&nbsp; 6802063<sup>(a)</sup> <br>| &nbsp;&nbsp; 6815822 | &nbsp;&nbsp;&nbsp; (13759) |
| Ultra U.S. Treasury Bond | &nbsp;&nbsp; 91 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp; 10355479 | &nbsp;&nbsp; 10675438 | &nbsp;&nbsp; (319959) |
| **Gross Unrealized Appreciation** |  |  |  |  | &nbsp;&nbsp; **388281** |
| **Gross Unrealized Depreciation** |  |  |  |  | &nbsp;&nbsp; **(492036)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> *Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.*

**9**

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Options Written** |  |  |  |  |  |
| Description/Contracts /Counterparty | Exercise Price | Expiration <br>Date<br>| Notional <br>Amount ($)<br>|  | Value ($) |
| **Put Options:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Swaption Payer Markit CDX North America Investment Grade Index <br> Series 43, Receiver 3 Month Fixed Rate of 1.00% terminating on <br> 06/20/2030, Contracts 9,200,000, Goldman Sachs & Co. LLC<br>| 0.75 | &nbsp;&nbsp; 8/20/2025 | &nbsp;&nbsp; 9200000 | &nbsp;&nbsp; EUR | (577) |
| &nbsp;&nbsp;&nbsp; Swaption Payer Markit CDX North America Investment Grade Index <br> Series 44, Receiver 3 Month Fixed Rate of 1.00% terminating on <br> 06/20/2030, Contracts 13,350,000, Goldman Sachs & Co. LLC<br>| 0.70 | &nbsp;&nbsp; 8/20/2025 | &nbsp;&nbsp; 13350000 |  | (673) |
| &nbsp;&nbsp;&nbsp; **Total Options Written** <br>(premiums received $6,162)<br>|  |  |  |  | &nbsp;&nbsp; **(1250)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

*EUR—Euro*<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** |
| Counterparty/ <br>Purchased <br>Currency<br>| Purchased <br>Currency <br>Amounts<br>| &nbsp;&nbsp; Currency <br>Sold<br>| Sold <br>Currency <br>Amounts<br>| Settlement <br>Date<br>| Unrealized <br>Appreciation <br>(Depreciation) ($)<br>|
| **Bank of America Corp.** | **Bank of America Corp.** | **Bank of America Corp.** | **Bank of America Corp.** | **Bank of America Corp.** | **Bank of America Corp.** |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 435000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 318046 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (3981) |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2001048 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2343114 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (58314) |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 317000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433346 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (14673) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440166 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 65374000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6226 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212153 | New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2378 |
| Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 617000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771230 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (6780) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275926 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 40979819 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2621 |
| **Barclays Capital, Inc.** | **Barclays Capital, Inc.** | **Barclays Capital, Inc.** | **Barclays Capital, Inc.** | **Barclays Capital, Inc.** | **Barclays Capital, Inc.** |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190426 | British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142142 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2694 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 480699 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 660249 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4006 |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2782000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2034904 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (26331) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27776 | Mexican Peso | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 530000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (293) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137538 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 20351000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2452 |
| Indonesian Rupiah | &nbsp;&nbsp; 2081907000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126822 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (324) |
| Norwegian Krone | &nbsp;&nbsp;&nbsp;&nbsp; 23816475 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2391656 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (87923) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117073 | Singapore Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1476 |
| New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3983000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2369232 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (22220) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 302552 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7967 |
| Mexican Peso | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 530000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28225 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (156) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70913 | Singapore Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1523 |
| Colombian Peso | &nbsp;&nbsp; 1178390000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 287754 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (6599) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49584 | British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 714 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28097 | Mexican Peso | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 530000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 157 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60824 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9085019 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2372762 | New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3983000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 22096 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126654 | Indonesian Rupiah | &nbsp;&nbsp; 2081907000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 |
| **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** |
| Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp; 22737000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4104337 | &nbsp;&nbsp; 8/4/2025 | &nbsp;&nbsp; (47972) |
| Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 580323 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 726790 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (11611) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3250146 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2789000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 65659 |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2127261 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1550030 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (14171) |

---

**10**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  |
| Counterparty/<br> Purchased<br> Currency<br>| Purchased<br> Currency<br> Amounts<br>| &nbsp;&nbsp; Currency<br> Sold<br>| Sold<br> Currency<br> Amounts<br>| Settlement<br> Date<br>| Unrealized<br> Appreciation<br> (Depreciation) ($)<br>|
| **BNP Paribas Corp. (continued)** | **BNP Paribas Corp. (continued)** | **BNP Paribas Corp. (continued)** | **BNP Paribas Corp. (continued)** | **BNP Paribas Corp. (continued)** | **BNP Paribas Corp. (continued)** |
| New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211837 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (2061) |
| Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2521000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 450478 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (1186) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 873307 | Japanese Yen | &nbsp;&nbsp;&nbsp; 126894000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 31011 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6114861 | British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4542585 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp; 115308 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3037012 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4149768 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 40926 |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 953000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1287419 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (28758) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1562347 | Colombian Peso | &nbsp;&nbsp; 6404717000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 33395 |
| Japanese Yen | &nbsp;&nbsp;&nbsp; 102036000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 699019 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (21726) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 764945 | Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1177000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8463 |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1695826 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1969941 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (33644) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 256284 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205003 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3642 |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295794 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (1166) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274267 | Swedish Krona | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2646000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3833 |
| Chinese Yuan Renminbi | &nbsp;&nbsp;&nbsp;&nbsp; 13437000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1870085 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (5357) |
| Czech Koruna | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5135000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245466 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (6972) |
| Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221003 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (5022) |
| Hungarian Forint | &nbsp;&nbsp;&nbsp;&nbsp; 64310000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189225 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (5870) |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148788 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (4864) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2479726 | British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1807000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 93009 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4073162 | Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp; 22737000 | &nbsp;&nbsp; 9/3/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 48657 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493700 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 679261 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2264 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1876241 | Chinese Yuan Renminbi | &nbsp;&nbsp;&nbsp;&nbsp; 13437000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5151 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17560 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618298 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527483 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455874 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5472 |
| **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 808926 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 648000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10345 |
| Colombian Peso | &nbsp;&nbsp; 6404717000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1536577 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (7624) |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251578 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (6090) |
| Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128503 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (2800) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178251 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3530 |
| Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 44248000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306054 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (12345) |
| Swedish Krona | &nbsp;&nbsp;&nbsp;&nbsp; 31737574 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3283816 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (40078) |
| South Korean Won | &nbsp;&nbsp; 1151021000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 852813 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp; (22207) |
| Chilean Peso | &nbsp;&nbsp;&nbsp; 135187000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145603 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (6605) |
| Peruvian Sol | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77836 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (1044) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1531627 | Colombian Peso | &nbsp;&nbsp; 6404717000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9540 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3292782 | Swedish Krona | &nbsp;&nbsp;&nbsp;&nbsp; 31737574 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 39977 |
| **Deutsche Bank AG** | **Deutsche Bank AG** | **Deutsche Bank AG** | **Deutsche Bank AG** | **Deutsche Bank AG** | **Deutsche Bank AG** |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127733 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (3584) |
| Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4347895 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5393556 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (35304) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 292076 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3201 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2459122 | Japanese Yen | &nbsp;&nbsp;&nbsp; 362574000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 52429 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185075 | British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137665 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3256 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 662128 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 914000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 862 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5422029 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4347895 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 35078 |

---

**11**

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  |
| Counterparty/<br> Purchased<br> Currency<br>| Purchased<br> Currency<br> Amounts<br>| &nbsp;&nbsp; Currency<br> Sold<br>| Sold<br> Currency<br> Amounts<br>| Settlement<br> Date<br>| Unrealized<br> Appreciation<br> (Depreciation) ($)<br>|
| **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137859 | Chinese Yuan Renminbi | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 987000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 887 |
| Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 25063000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173285 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (6922) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286297 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7779 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433301 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 590000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7328 |
| Hungarian Forint | &nbsp;&nbsp;&nbsp;&nbsp; 39642000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114516 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (1457) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89624 | Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212590 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (2508) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 407919 | Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 624000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6862 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63178 | British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47194 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 848 |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254000 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294251 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (509) |
| South Korean Won | &nbsp;&nbsp;&nbsp; 265257000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191873 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (521) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 459730 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 392000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12144 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112639 | Hungarian Forint | &nbsp;&nbsp;&nbsp;&nbsp; 39642000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (420) |
| Swedish Krona | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3284000 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 296150 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (2504) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2330460 | Norwegian Krone | &nbsp;&nbsp;&nbsp;&nbsp; 23816475 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 26727 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3334672 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2709895 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (4944) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2133296 | New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3537000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 49092 |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 341344 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (4512) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309759 | Malaysian Ringgit | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1296000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5724 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27763 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4155864 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88706 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (201) |
| Norwegian Krone | &nbsp;&nbsp;&nbsp;&nbsp; 23816475 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2331046 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp; (26647) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114272 | Hungarian Forint | &nbsp;&nbsp;&nbsp;&nbsp; 39642000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1458 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192317 | South Korean Won | &nbsp;&nbsp;&nbsp; 265257000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474 |
| **HSBC Securities (USA), Inc.** | **HSBC Securities (USA), Inc.** | **HSBC Securities (USA), Inc.** | **HSBC Securities (USA), Inc.** | **HSBC Securities (USA), Inc.** | **HSBC Securities (USA), Inc.** |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3916459 | Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp; 22737000 | &nbsp;&nbsp; 8/4/2025 | &nbsp;&nbsp; (139907) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2263295 | Chinese Yuan Renminbi | &nbsp;&nbsp;&nbsp;&nbsp; 16213000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13325 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1815289 | Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2792416 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 20544 |
| Japanese Yen | &nbsp;&nbsp;&nbsp; 447968000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3025616 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (52095) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203111 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3120 |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 948000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 694439 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (9993) |
| Chinese Yuan Renminbi | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2282000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319642 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (2956) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1248384 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1078857 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 16542 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193785 | South Korean Won | &nbsp;&nbsp;&nbsp; 265257000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2433 |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 420058 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (10631) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1027338 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1413000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7168 |
| Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204753 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (2643) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145411 | New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2221 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182287 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 26710000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4992 |
| Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5359416 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3484158 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (39549) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127047 | Indonesian Rupiah | &nbsp;&nbsp; 2081907000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 549 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 608889 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 483004 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 13645 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356501 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 290000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (889) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3387858 | Swedish Krona | &nbsp;&nbsp;&nbsp;&nbsp; 32375574 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 78914 |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 224087 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (2577) |

---

**12**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  |
| Counterparty/<br> Purchased<br> Currency<br>| Purchased<br> Currency<br> Amounts<br>| &nbsp;&nbsp; Currency<br> Sold<br>| Sold<br> Currency<br> Amounts<br>| Settlement<br> Date<br>| Unrealized<br> Appreciation<br> (Depreciation) ($)<br>|
| **HSBC Securities (USA), Inc. (continued)** | **HSBC Securities (USA), Inc. (continued)** | **HSBC Securities (USA), Inc. (continued)** | **HSBC Securities (USA), Inc. (continued)** | **HSBC Securities (USA), Inc. (continued)** | **HSBC Securities (USA), Inc. (continued)** |
| Singapore Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116361 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (765) |
| Hong Kong Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31339 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (85) |
| Norwegian Krone | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2367000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235043 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (6078) |
| Danish Krone | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1728000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273710 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (9239) |
| Thai Baht | &nbsp;&nbsp;&nbsp;&nbsp; 29664264 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 916101 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (7312) |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp; 22825000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp; 26899577 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp; (827565) |
| Indonesian Rupiah | &nbsp;&nbsp; 8025015000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 494835 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (7310) |
| Chinese Yuan Renminbi | &nbsp;&nbsp;&nbsp; 131754000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp; 18452873 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp; (160337) |
| Swedish Krona | &nbsp;&nbsp;&nbsp;&nbsp; 10163000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1074183 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp; (35072) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 549454 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 444000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (653) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3207670 | Japanese Yen | &nbsp;&nbsp;&nbsp; 473155245 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 52075 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116730 | Singapore Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150000 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 749 |
| Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2413416 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1567017 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp; (14545) |
| **J.P. Morgan Securities LLC** | **J.P. Morgan Securities LLC** | **J.P. Morgan Securities LLC** | **J.P. Morgan Securities LLC** | **J.P. Morgan Securities LLC** | **J.P. Morgan Securities LLC** |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 504671 | Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 766000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12347 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 585993 | Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3229000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10521 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123336 | New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3717 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 396130 | Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 56505000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 21062 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 362493 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285993 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 10042 |
| Brazilian Real | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1210000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220301 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (4655) |
| Chinese Yuan Renminbi | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1481000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207093 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (1567) |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205812 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (5917) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34083 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 957 |
| Mexican Peso | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3081000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164103 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (1035) |
| **Morgan Stanley & Co. LLC** | **Morgan Stanley & Co. LLC** | **Morgan Stanley & Co. LLC** | **Morgan Stanley & Co. LLC** | **Morgan Stanley & Co. LLC** | **Morgan Stanley & Co. LLC** |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 951866 | British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 709000 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 15464 |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3650585 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4885319 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (63863) |
| Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127677 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160304 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (2958) |
| Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 18952000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129398 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (3598) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172388 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236244 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1822 |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1276000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 938223 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (16965) |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 337019 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp; (11606) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101561 | Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2896 |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 341228 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (5401) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31478 | Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 423 |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 525000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 616383 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp; (16699) |
| Japanese Yen | &nbsp;&nbsp; 2180362000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp; 15267968 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp; (785860) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4637319 | New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7602000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp; 156808 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 757821 | Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 648000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 17638 |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1198126 | Chinese Yuan Renminbi | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8540000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9567 |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106921 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (3898) |
| Polish Zloty | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 853000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236416 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (8857) |
| Israeli Shekel | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1171000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346586 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (1886) |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4409307 | British Pound | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3294585 | &nbsp;&nbsp; 9/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 56140 |

---

**13**

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  | **Forward Foreign Currency Exchange Contracts**  |
| Counterparty/<br> Purchased<br> Currency<br>| Purchased<br> Currency<br> Amounts<br>| &nbsp;&nbsp; Currency<br> Sold<br>| Sold<br> Currency<br> Amounts<br>| Settlement<br> Date<br>| Unrealized<br> Appreciation<br> (Depreciation) ($)<br>|
| **RBC Capital Markets, LLC** | **RBC Capital Markets, LLC** | **RBC Capital Markets, LLC** | **RBC Capital Markets, LLC** | **RBC Capital Markets, LLC** | **RBC Capital Markets, LLC** |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194405 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (3724) |
| Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp; 20141000 | United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139799 | &nbsp;&nbsp; 8/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; (6107) |
| **UBS Securities LLC** | **UBS Securities LLC** | **UBS Securities LLC** | **UBS Securities LLC** | **UBS Securities LLC** | **UBS Securities LLC** |
| United States Dollar | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54719 | South African Rand | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 968000 | &nbsp;&nbsp; 8/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1631 |
| **Gross Unrealized Appreciation** | **Gross Unrealized Appreciation** | **Gross Unrealized Appreciation** | **Gross Unrealized Appreciation** | **Gross Unrealized Appreciation** | **1326789** |
| **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **(2881597)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Centrally Cleared Credit Default Swaps** | **Centrally Cleared Credit Default Swaps** | **Centrally Cleared Credit Default Swaps** | **Centrally Cleared Credit Default Swaps** | **Centrally Cleared Credit Default Swaps** | **Centrally Cleared Credit Default Swaps** |
| Reference <br>Obligations<br>| Maturity <br>Date<br>| Notional <br>Amount ($)<sup>(a)</sup> <br>| Market <br>Value ($)<br>| Upfront <br>Payments/ <br>Receipts ($)<br>| Unrealized <br>Appreciation <br>(Depreciation) ($)<br>|
| **Purchased Contracts:**<sup>(b)</sup> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Markit iTraxx Europe Crossover Index Series 43, Paid <br> 3 Month Fixed Rate of 5.00%<br>| &nbsp;&nbsp; 6/20/2030 | &nbsp;&nbsp; 285300 | &nbsp;&nbsp; (29605) | &nbsp;&nbsp; (23328) | &nbsp;&nbsp; (6277) |
| &nbsp;&nbsp;&nbsp; Markit CDX North America Investment Grade Index <br> Series 44, Paid 3 Month Fixed Rate of 1.00%<br>| &nbsp;&nbsp; 6/20/2030 | &nbsp;&nbsp; 49205000 | &nbsp;&nbsp; (1122904) | &nbsp;&nbsp; (1073690) | &nbsp;&nbsp; (49214) |
| **Sold Contracts:**<sup>(c)</sup> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Markit iTraxx Europe Index Series 43, Received 3 Month <br> Fixed Rate of 1.00%<br>| &nbsp;&nbsp; 6/20/2030 | &nbsp;&nbsp; 24786852 | &nbsp;&nbsp; 557929 | &nbsp;&nbsp; 493625 | &nbsp;&nbsp; 64304 |
| **Gross Unrealized Appreciation** |  |  |  |  | &nbsp;&nbsp; **64304** |
| **Gross Unrealized Depreciation** |  |  |  |  | &nbsp;&nbsp; **(55491)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> *The maximum potential amount the fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs* *as defined under the terms of the swap agreement.* 

<sup>(b)</sup> *If the fund is a buyer of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) receive from the seller of* *protection an amount equal to the notional amount of the swap and deliver the reference obligation or (ii) receive a net settlement amount in the form of cash or* *securities equal to the notional amount of the swap less the recovery value of the reference obligation.* 

<sup>(c)</sup> *If the fund is a seller of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) pay to the buyer of* *protection an amount equal to the notional amount of the swap and take delivery of the reference obligation or (ii) pay a net settlement amount in the form of* *cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **OTC Credit Default Swaps** |  |  |  |  |  |
| Reference <br>Obligations/ <br>Counterparty<br>| Maturity <br>Date<br>| Notional <br>Amount ($)<sup>(a)</sup> <br>| Market <br>Value ($)<br>| Upfront <br>Payments/ <br>Receipts ($)<br>| Unrealized <br>Appreciation <br>(Depreciation) ($)<br>|
| **Purchased Contracts:**<sup>(b)</sup> |  |  |  |  |  |
| **Bank of America Corp.** | **Bank of America Corp.** | **Bank of America Corp.** | **Bank of America Corp.** | **Bank of America Corp.** | **Bank of America Corp.** |
| &nbsp;&nbsp;&nbsp; YUM! Brands, 3.63%, 3/15/2031 Paid 3 Month Fixed Rate <br> of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 420000 | &nbsp;&nbsp; (6238) | &nbsp;&nbsp; (1314) | &nbsp;&nbsp;&nbsp; (4924) |
| &nbsp;&nbsp;&nbsp; YUM! Brands, 3.63%, 3/15/2031 Paid 3 Month Fixed Rate <br> of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 280000 | &nbsp;&nbsp; (4158) | &nbsp;&nbsp; (1085) | &nbsp;&nbsp;&nbsp; (3073) |
| **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** |
| &nbsp;&nbsp;&nbsp; Intesa Sanpaolo SpA, 4.20%, 6/1/2032 Paid 3 Month Fixed <br> Rate of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 730368 | &nbsp;&nbsp; (6792) | &nbsp;&nbsp;&nbsp; 13840 | &nbsp;&nbsp; (20632) |
| &nbsp;&nbsp;&nbsp; UniCredit S.p.A., 2.73%, 1/15/2032 Paid 3 Month Fixed <br> Rate of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 707544 | &nbsp;&nbsp; (3694) | &nbsp;&nbsp;&nbsp; 14974 | &nbsp;&nbsp; (18668) |

---

**14**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **OTC Credit Default Swaps**  |  |  |  |  |  |
| Reference<br> Obligations/<br> Counterparty<br>| Maturity<br> Date<br>| Notional<br> Amount ($)<sup>(a)</sup><br>| Market<br> Value ($)<br>| Upfront<br> Payments/<br> Receipts ($)<br>| Unrealized<br> Appreciation<br> (Depreciation) ($)<br>|
| **Purchased Contracts: (continued)**<sup>(b)</sup> |  |  |  |  |  |
| **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
| &nbsp;&nbsp;&nbsp; Mediobanca Banca di Credito Finanziario SpA, 2.30%, <br> 11/23/2030 Paid 3 Month Fixed Rate of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 365184 | &nbsp;&nbsp; (1554) | &nbsp;&nbsp;&nbsp;&nbsp; 6567 | &nbsp;&nbsp;&nbsp; (8121) |
| **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** |
| &nbsp;&nbsp;&nbsp; Transdigm, 5.50%, 11/15/2027 Paid 3 Month Fixed Rate <br> of 5.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 290000 | &nbsp;&nbsp; (48775) | &nbsp;&nbsp; (40573) | &nbsp;&nbsp;&nbsp; (8202) |
| **Sold Contracts:**<sup>(c)</sup> |  |  |  |  |  |
| **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** | **BNP Paribas Corp.** |
| &nbsp;&nbsp;&nbsp; Electrolux AB, 2.50%, 5/18/2030 Received 3 Month Fixed <br> Rate of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 171180 | &nbsp;&nbsp; (3092) | &nbsp;&nbsp; (2358) | &nbsp;&nbsp;&nbsp;&nbsp; (734) |
| &nbsp;&nbsp;&nbsp; Electrolux AB, 2.50%, 5/18/2030 Received 3 Month Fixed <br> Rate of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 68472 | &nbsp;&nbsp; (1237) | &nbsp;&nbsp; (1240) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; Electrolux AB, 2.50%, 5/18/2030 Received 3 Month Fixed <br> Rate of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 79884 | &nbsp;&nbsp; (1443) | &nbsp;&nbsp; (1395) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (48) |
| **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** | **Goldman Sachs & Co. LLC** |
| &nbsp;&nbsp;&nbsp; Electrolux AB, 2.50%, 5/18/2030 Received 3 Month Fixed <br> Rate of 1.00%<br>| &nbsp;&nbsp; 6/20/2029 | &nbsp;&nbsp; 330948 | &nbsp;&nbsp; (3192) | &nbsp;&nbsp; (7426) | &nbsp;&nbsp;&nbsp;&nbsp; 4234 |
| &nbsp;&nbsp;&nbsp; Virgin Media Finance PLC, 3.75%, 7/15/2030 Received <br> 3 Month Fixed Rate of 5.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 319536 | &nbsp;&nbsp;&nbsp; 26636 | &nbsp;&nbsp;&nbsp; 10121 | &nbsp;&nbsp;&nbsp; 16515 |
| &nbsp;&nbsp;&nbsp; Electrolux AB, 2.50%, 5/18/2030 Received 3 Month Fixed <br> Rate of 1.00%<br>| &nbsp;&nbsp; 12/20/2029 | &nbsp;&nbsp; 91296 | &nbsp;&nbsp; (1649) | &nbsp;&nbsp; (1193) | &nbsp;&nbsp;&nbsp;&nbsp; (456) |
| **Gross Unrealized Appreciation** |  |  |  |  | &nbsp;&nbsp; **20752** |
| **Gross Unrealized Depreciation** |  |  |  |  | &nbsp;&nbsp; **(64858)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> *The maximum potential amount the fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs* *as defined under the terms of the swap agreement.* 

<sup>(b)</sup> *If the fund is a buyer of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) receive from the seller of* *protection an amount equal to the notional amount of the swap and deliver the reference obligation or (ii) receive a net settlement amount in the form of cash or* *securities equal to the notional amount of the swap less the recovery value of the reference obligation.* 

<sup>(c)</sup> *If the fund is a seller of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) pay to the buyer of* *protection an amount equal to the notional amount of the swap and take delivery of the reference obligation or (ii) pay a net settlement amount in the form of* *cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Centrally Cleared Interest Rate Swaps** | **Centrally Cleared Interest Rate Swaps** | **Centrally Cleared Interest Rate Swaps** | **Centrally Cleared Interest Rate Swaps** | **Centrally Cleared Interest Rate Swaps** | **Centrally Cleared Interest Rate Swaps** | **Centrally Cleared Interest Rate Swaps** |
| Received <br>Reference <br>Entity<br>| &nbsp;&nbsp; Paid <br>Reference <br>Entity<br>| Maturity <br>Date<br>| Notional <br>Amount ($)<br>| Market <br>Value ($)<br>| Upfront <br>Payments/ <br>Receipts ($)<br>| Unrealized <br>Appreciation <br>(Depreciation) ($)<br>|
| USD - CPURNSA at Maturity | &nbsp;&nbsp; USD Maturity Fixed at <br> 2.53%<br>| &nbsp;&nbsp; 7/28/2053 | &nbsp;&nbsp; 2157000 | &nbsp;&nbsp; (25431) | &nbsp;&nbsp; (29919) | &nbsp;&nbsp; 4488 |
| &nbsp;&nbsp;&nbsp; EUR Maturity Fixed at <br> 2.80%<br>| EUR - CPTFEMU at Maturity | &nbsp;&nbsp; 7/28/2053 | &nbsp;&nbsp; 2720621 | &nbsp;&nbsp; 447829 | &nbsp;&nbsp; 455115 | &nbsp;&nbsp; (7286) |
| USD - CPURNSA at Maturity | &nbsp;&nbsp; USD Maturity Fixed at <br> 2.45%<br>| &nbsp;&nbsp; 12/7/2053 | &nbsp;&nbsp; 1277000 | &nbsp;&nbsp; (1009) | &nbsp;&nbsp; (32070) | &nbsp;&nbsp; 31061 |
| &nbsp;&nbsp;&nbsp; GBP Maturity Fixed at <br> 3.45%<br>| GBP - UKRPI at Maturity | &nbsp;&nbsp; 9/15/2034 | &nbsp;&nbsp; 5282600 | &nbsp;&nbsp; 34870 | &nbsp;&nbsp; (16526) | &nbsp;&nbsp; 51396 |

---

**15**

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Centrally Cleared Interest Rate Swaps**  | **Centrally Cleared Interest Rate Swaps**  | **Centrally Cleared Interest Rate Swaps**  | **Centrally Cleared Interest Rate Swaps**  | **Centrally Cleared Interest Rate Swaps**  | **Centrally Cleared Interest Rate Swaps**  | **Centrally Cleared Interest Rate Swaps**  |
| Received<br> Reference<br> Entity<br>| &nbsp;&nbsp; Paid<br> Reference<br> Entity<br>| Maturity<br> Date<br>| Notional<br> Amount ($)<br>| Market<br> Value ($)<br>| Upfront<br> Payments/<br> Receipts ($)<br>| Unrealized<br> Appreciation<br> (Depreciation) ($)<br>|
| &nbsp;&nbsp;&nbsp; GBP Maturity Fixed at <br> 3.70%<br>| GBP - UKRPI at Maturity | &nbsp;&nbsp; 4/5/2034 | &nbsp;&nbsp; 2601681 | &nbsp;&nbsp; 76631 | &nbsp;&nbsp; 103735 | &nbsp;&nbsp; (27104) |
| **Gross Unrealized Appreciation** | **Gross Unrealized Appreciation** | **Gross Unrealized Appreciation** | **Gross Unrealized Appreciation** | **Gross Unrealized Appreciation** |  | **86945** |
| **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** |  | **(34390)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| *CPTFEMU—Eurostat Eurozone HICP Ex Tobacco Unrevised NSA* |
| *CPURNSA—US CPI Urban Consumers NSA* |
| *EUR—Euro* |
| *GBP—British Pound* |
| *UKRPI—UK RPI All Items NSA* |
| *USD—United States Dollar* |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **OTC Total Return Swaps** | **OTC Total Return Swaps** | **OTC Total Return Swaps** | **OTC Total Return Swaps** | **OTC Total Return Swaps** | **OTC Total Return Swaps** |
| Received <br>Reference <br>Entity<br>| &nbsp;&nbsp; Paid <br>Reference <br>Entity<br>| Counterparties | Maturity <br>Date<br>| Notional <br>Amount ($)<br>| Unrealized <br>(Depreciation) ($)<br>|
| &nbsp;&nbsp;&nbsp; USD - 3 Month SOFRRATE <br> at 4.34%<br>| USD - IBOXIG at Maturity | J.P. Morgan Securities LLC | &nbsp;&nbsp; 9/22/2025 | &nbsp;&nbsp; 11072533 | &nbsp;&nbsp; (217722) |
| &nbsp;&nbsp;&nbsp; USD - 3 Month SOFRRATE <br> at 4.36%<br>| USD - IBOXIG at Maturity | Goldman Sachs & Co. LLC | &nbsp;&nbsp; 9/22/2025 | &nbsp;&nbsp; 4106311 | &nbsp;&nbsp; (136267) |
| &nbsp;&nbsp;&nbsp; USD - 3 Month SOFRRATE <br> at 4.36%<br>| USD - IBOXIG at Maturity | J.P. Morgan Securities LLC | &nbsp;&nbsp; 9/22/2025 | &nbsp;&nbsp; 2079145 | &nbsp;&nbsp; (68996) |
| &nbsp;&nbsp;&nbsp; USD - 3 Month SOFRRATE <br> at 4.36%<br>| USD - IBOXIG at Maturity | Morgan Stanley & Co. LLC | &nbsp;&nbsp; 9/22/2025 | &nbsp;&nbsp; 1933627 | &nbsp;&nbsp; (23985) |
| **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **Gross Unrealized Depreciation** | **(446970)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| *IBOXIG—Markit iBoxx $ Investment Grade Corporate Bond Index* |
| *SOFRRATE—Secured Overnight Financing Rate* |
| *USD—United States Dollar* |

---

*See notes to statement of investments.*

**16**

------

Statement of Investments

BNY Mellon International Bond Fund

July 31, 2025 (Unaudited)

The following is a summary of the inputs used as of July 31, 2025 in valuing the fund's investments:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Level 1 -** <br>**Unadjusted** <br>**Quoted Prices**<br>| **Level 2- Other** <br>**Significant** <br>**Observable Inputs**<br>| **Level 3-** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>| **Total** |
| **Assets ($)** |  |  |  |  |
| Investments in Securities:<sup>†</sup> <br>|  |  |  |  |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4493651 | &nbsp;&nbsp; — | &nbsp;&nbsp; **4493651** |
| Collateralized Loan Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1725249 | &nbsp;&nbsp; — | &nbsp;&nbsp; **1725249** |
| Commercial Mortgage-Backed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1605350 | &nbsp;&nbsp; — | &nbsp;&nbsp; **1605350** |
| Corporate Bonds and Notes | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 24428837 | &nbsp;&nbsp; — | &nbsp;&nbsp; **24428837** |
| Foreign Governmental | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 84183872 | &nbsp;&nbsp; — | &nbsp;&nbsp; **84183872** |
| U.S. Government Agencies Mortgage-Backed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 6660019 | &nbsp;&nbsp; — | &nbsp;&nbsp; **6660019** |
| U.S. Treasury Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 7946507 | &nbsp;&nbsp; — | &nbsp;&nbsp; **7946507** |
| Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp; 785182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; **785182** |
|  | &nbsp;&nbsp; **785182** | &nbsp;&nbsp; **131043485** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **131828667** |
| Other Financial Instruments: |  |  |  |  |
| Options Purchased | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15433 | &nbsp;&nbsp; — | &nbsp;&nbsp; **15433** |
| Futures<sup>††</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 388281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; **388281** |
| Forward Foreign Currency Exchange Contracts<sup>††</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1326790 | &nbsp;&nbsp; — | &nbsp;&nbsp; **1326790** |
| Swap Agreements<sup>††</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172001 | &nbsp;&nbsp; — | &nbsp;&nbsp; **172001** |
|  | &nbsp;&nbsp; **388281** | &nbsp;&nbsp; **1514224** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **1902505** |
| **Liabilities ($)** |  |  |  |  |
| Other Financial Instruments: |  |  |  |  |
| Options Written | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1250) | &nbsp;&nbsp; — | &nbsp;&nbsp; **(1250)** |
| Futures<sup>††</sup> <br>| &nbsp;&nbsp; (492036) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; **(492036)** |
| Forward Foreign Currency Exchange Contracts<sup>††</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; (2881597) | &nbsp;&nbsp; — | &nbsp;&nbsp; **(2881597)** |
| Swap Agreements<sup>††</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (601709) | &nbsp;&nbsp; — | &nbsp;&nbsp; **(601709)** |
|  | &nbsp;&nbsp; **(492036)** | &nbsp;&nbsp; **(3484556)** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **(3976592)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| <sup>†</sup> <br>| *See Statement of Investments for additional detailed categorizations, if any.* |
| <sup>††</sup> <br>| *Amount shown represents unrealized appreciation (depreciation) at period end.* |

---

**17**

------

The Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") is the exclusive reference of authoritative U.S. generally accepted accounting principles ("GAAP") recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission ("SEC") under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund's financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.

Various inputs are used in determining the value of the fund's investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:

**Level 1**—unadjusted quoted prices in active markets for identical investments.

**Level 2**—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

**Level 3**—significant unobservable inputs (including the fund's own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund's investments are as follows:

The Trust's Board of Trustees (the "Board") has designated the Adviser as the fund's valuation designee to make all fair value determinations with respect to the fund's portfolio investments, subject to the Board's oversight and pursuant to Rule 2a-5 under the Act.

Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.

Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), forward foreign currency exchange contracts ("forward contracts"), futures and options, are valued each business day by one or more independent pricing services (each, a "Service") approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.

When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.

**18**

------

Futures are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.

Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.

Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy. Futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter ("OTC") are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap agreements are valued each business day by a Service. Swap agreements are valued by the Service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on interest rates and are generally categorized within Level 2 of the fair value hierarchy.

Pursuant to a securities lending agreement with BNY, the fund may lend securities to qualified institutions. It is the fund's policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Adviser, or U.S. Government and Agency securities. The securities on loan, if any, are also disclosed in the fund's Statement of Investments. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, BNY is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund's rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.

**Derivatives:** A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at July 31, 2025 is discussed below.

**Futures:** In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at July 31, 2025 are set forth in the Statement of Investments.

**Options Transactions**: The fund purchases and writes (sells) put and call options to hedge against changes in the values of foreign currencies and credit, or as a substitute for an investment. The fund is subject to market risk currency risk and credit risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.

As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates. The maximum payout for those contracts is limited to the number of call option contracts written and the related strike prices, respectively. <br>As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively. <br>

**19**

------

As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund's exposure to the counterparty. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction. Options purchased and written open at July 31, 2025 are set forth in the Statement of Investments.

**Forward Foreign Currency Exchange Contracts**: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund's exposure to the counterparty. As of July 31, 2025, there were no forward contracts outstanding.

**Swap Agreements**: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the over-the-counter ("OTC") market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.

For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement's term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date.

Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.

Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.

**Interest Rate Swaps:** Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. The fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional principal amount. The net interest received or paid on interest rate swap agreements is included within realized gain (loss) on swap agreements in the Statement of Operations. Interest rate swap agreements are subject to general market risk, liquidity risk, counterparty risk and interest rate risk.

The fund enters into inflation swap agreement to gain exposure to inflation. An inflation swap is an agreement in which one party agrees to pay the cumulative percentage increase in a price index (such as the Consumer Price Index (CPI) with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the value of securities against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases. Inflation swap agreements are within Interest rate swaps open at July 31, 2025 which are set forth in the Statement of Investments.

**20**

------

For OTC swaps, the fund's maximum risk of loss from counterparty risk is the discounted value of the cash flows to be received from the counterparty over the agreement's remaining life, to the extent that the amount is positive. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund's exposure to the counterparty. There is minimal counterparty risk to the fund with centrally cleared swaps since they are exchange traded and the exchange guarantees these swaps against default. Interest rate swaps open at July 31, 2025 are set forth in the Statement of Investments.

**Total Return Swaps:** Total return swaps involve commitments to pay interest in exchange for a market-linked return based on a notional principal amount. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the specific reference entity, the fund either receives a payment from or makes a payment to the counterparty, respectively. Total return swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. This risk is mitigated by Master Agreements between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund's exposure to the counterparty. The underlying reference asset could be a security, an index, or basket of investments. Total return swaps open at July 31, 2025 are set forth in the Statement of Investments.

**Credit Default Swaps:** Credit default swaps involve commitments to pay a fixed interest rate in exchange for payment if a credit event affecting a third party (the referenced obligation or index) occurs. Credit events may include a failure to pay interest or principal, bankruptcy, or restructuring. The fund enters into these agreements to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. For those credit default swaps in which the fund is paying a fixed rate, the fund is buying credit protection on the instrument. In the event of a credit event, the fund would receive the full notional amount for the reference obligation. For those credit default swaps in which the fund is receiving a fixed rate, the fund is selling credit protection on the underlying instrument. The maximum payouts for these agreements are limited to the notional amount of each swap. Credit default swaps may involve greater risks than if the fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund's exposure to the counterparty. <br>The maximum potential amount of future payments (undiscounted) that a fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement which may exceed the amount of unrealized appreciation or depreciation reflected in the Statement of Assets and Liabilities. Notional amounts of all credit default swap agreements are disclosed in the Statement of Investments, which summarizes open credit default swaps entered into by the fund. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, underlying securities comprising the referenced index, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the fund for the same referenced entity or entities. Credit default swaps open at July 31, 2025 are set forth in the Statement of Investments. <br>GAAP requires disclosure for (i) the nature and terms of the credit derivative, reasons for entering into the credit derivative, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative, (ii) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative, (iii) the fair value of the credit derivative, and (iv) the nature of any recourse provisions and assets held either as collateral or by third parties. All required disclosures have been made and are incorporated within the current period as part of the Notes to the Statement of Investments and disclosures within this Note.

At July 31, 2025, accumulated net unrealized depreciation on investments inclusive of derivative contracts was $3,530,732, consisting of $5,883,548 gross unrealized appreciation and $9,414,280 gross unrealized depreciation.

At July 31, 2025, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).

Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.

**21**

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-00524

- **c. CIK number of Registrant:** 0000053808

- **d. LEI of Registrant:** 549300DOYFL5R4I71F16

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10286

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

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

- **a. Name of Series:** BNY Mellon International Bond Fund

- **b. EDGAR series identifier (if any):** S000005159

- **c. LEI of Series:** K5QENRME0RO77ZENN187

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-07-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $137889731.20

**Total Liabilities:** $3701022.27

**Net Assets:** $134188708.93

**Cash Not Reported:** $5559953.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 7.04379000 | **1-Year:** 1100.15150000 | **5-Year:** 14957.29021000 | **10-Year:** 30037.75323000 | **30-Year:** -6406.67828000

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

- **3-Month:** 0.00000000 | **1-Year:** 93.75449000 | **5-Year:** 3811.55911000 | **10-Year:** 3458.29591000 | **30-Year:** 556.78710000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014127 | -0.15%               | 2.43%                | -3.48%               |
| Class ID C000014125 | -0.23%               | 2.41%                | -3.49%               |
| Class ID C000014126 | -0.25%               | 2.24%                | -3.49%               |
| Class ID C000130466 | -0.23%               | 2.41%                | -3.39%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-16735.62               | $-749758.54                                |
| Month 2  | $210276.41               | $2762542.61                                |
| Month 3  | $131742.22               | $-4084113.71                               |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate EX USD Index (unhedged)

- **Index Identifier:** LG38TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BECTON DICKINSON EURO                       | Becton Dickinson Euro Finance Sarl                                 | CUSIP: 000000000<br>LEI: 549300W40NLZ25XUTH09 | Long             | DBT              | CORP              | LU        |      200000 | PA      | $154645.17    | 0.12%             | 2041-08-13      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                             | Kingdom of Belgium Government Bond                                 | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      775000 | PA      | $775554.53    | 0.58%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2957.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.44.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1122904.46  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4654.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $56140.04     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                             | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      217000 | PA      | $212043.72    | 0.16%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                    | FMC Corp                                                           | CUSIP: 302491AX3<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      150000 | PA      | $147856.09    | 0.11%             | 2033-05-18      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $65659.62     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                          | Province of Quebec Canada                                          | CUSIP: 74814ZFQ1<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      405000 | PA      | $281658.56    | 0.21%             | 2055-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS IFS EUR                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $447829.10    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/SGD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $748.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-827565.39   | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                    | Regatta XXV Funding Ltd                                            | CUSIP: 758978AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $602250.00    | 0.45%             | 2038-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| WOOLWORTHS GROUP LTD                        | Woolworths Group Ltd                                               | CUSIP: 000000000<br>LEI: QNWEWQBS7HP85QHXQL92 | Long             | DBT              | CORP              | AU        |      135000 | PA      | $157050.71    | 0.12%             | 2032-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                       | Japan Government Forty Year Bond                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   132100000 | PA      | $466059.22    | 0.35%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16965.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                        | Heathrow Funding Ltd                                               | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |      240000 | PA      | $238543.56    | 0.18%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                    | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      375000 | PA      | $438118.36    | 0.33%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                    | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1785000 | PA      | $1499057.94   | 1.12%             | 2050-09-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                     | CUSIP: 61747YFJ9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      236000 | PA      | $260364.74    | 0.19%             | 2034-11-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3192.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                           | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200458.81    | 0.15%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7327.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7167.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                       | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    24740000 | PA      | $3401195.07   | 2.53%             | 2035-02-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL              | Stack Infrastructure Issuer LLC                                    | CUSIP: 85236KAF9<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |      150000 | PA      | $150470.73    | 0.11%             | 2048-03-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                      | Treasury Corp of Victoria                                          | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     1686000 | PA      | $1055098.32   | 0.79%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -91 | NC      | $-319958.13   | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUXL 30Y BND                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -4 | NC      | $16346.34     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $48657.55     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                            | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      180000 | PA      | $155560.86    | 0.12%             | 2036-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-68999.66    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -118 | NC      | $23844.07     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JT INTL FIN SERVICES BV                     | JT International Financial Services BV                             | CUSIP: 000000000<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |      602000 | PA      | $698260.02    | 0.52%             | 2035-06-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3716.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                          | LONG GILT                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -56 | NC      | $-13758.72    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | DKK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9238.61     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1649.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                            | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      325000 | PA      | $375253.07    | 0.28%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                              | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     1475000 | PA      | $1230172.35   | 0.92%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                            | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      960000 | PA      | $1140460.27   | 0.85%             | 2038-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                       | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   486000000 | PA      | $2705266.44   | 2.02%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| KOMMUNALKREDIT AUSTRIA A                    | Kommunalkredit Austria AG                                          | CUSIP: 000000000<br>LEI: 549300IEVCBWVV97WC81 | Long             | DBT              | CORP              | AT        |      200000 | PA      | $232852.01    | 0.17%             | 2031-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                    | New South Wales Treasury Corp                                      | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     4126000 | PA      | $2098985.90   | 1.56%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15464.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                           | General Mills Inc                                                  | CUSIP: 000000000<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |      240000 | PA      | $276564.91    | 0.21%             | 2032-04-17      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                        | Indonesia Treasury Bond                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 10580000000 | PA      | $678251.07    | 0.51%             | 2040-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2023-2 Mortgage Loan Trust                                    | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |      191035 | PA      | $192086.52    | 0.14%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | CDS TRANSDIGM INC                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-48775.19    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2023-5                                  | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |      183102 | PA      | $183978.33    | 0.14%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-52094.93    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | SGD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-765.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/MXN FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-293.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6107.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $848.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                      | Treasury Corp of Victoria                                          | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      206000 | PA      | $100936.31    | 0.08%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24      | AUST 10Y BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         -18 | NC      | $-480.34      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                | USD/MXN FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $156.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2432.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2577.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1822.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6078.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3119.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | USD/MXN FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1035.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS IFS USD                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-1008.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUNDESSCHATZANWEISUNGEN                     | Bundesschatzanweisungen                                            | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     1800000 | PA      | $2063138.59   | 1.54%             | 2027-03-11      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                        | Singapore Government Bond                                          | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      875000 | PA      | $739949.17    | 0.55%             | 2033-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | ILS/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1885.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2023-2                                     | CUSIP: 61945WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      218863 | PA      | $208333.37    | 0.16%             | 2053-09-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13325.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14544.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | CHF/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2508.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-26647.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | PLN/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8857.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | HUF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1458.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | MYR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5723.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                    | Queensland Treasury Corp                                           | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      575000 | PA      | $287907.04    | 0.21%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11610.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                         | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2350000 | PA      | $2650493.08   | 1.98%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5151.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                    | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     2125000 | PA      | $2634115.21   | 1.96%             | 2033-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                   | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2075000 | PA      | $2080146.98   | 1.55%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/SGD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1523.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                 | SWOP CDS ITRAXX.EU.43.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |     9200000 | NC      | $5588.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                          | JAPAN 10Y BOND(OSE)                                                | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          -5 | NC      | $21518.37     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          76 | NC      | $-55023.58    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12345.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                             | WEA Finance LLC                                                    | CUSIP: 000000000<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      283000 | PA      | $275431.28    | 0.21%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                       | Cellnex Finance Co SA                                              | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      100000 | PA      | $102866.66    | 0.08%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CNY FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9566.92      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-217747.75   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12144.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                | Sunnova Hestia I Issuer LLC                                        | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       88762 | PA      | $89034.14     | 0.07%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5471.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3897.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTL                        | Raiffeisen Bank International AG                                   | CUSIP: 000000000<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      600000 | PA      | $678247.47    | 0.51%             | 2032-06-18      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                          | A&D Mortgage Trust 2023-NQM2                                       | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      310373 | PA      | $310875.01    | 0.23%             | 2068-05-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $17638.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-47971.46    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                   | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1100000 | PA      | $1103158.20   | 0.82%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Ent Auto Receivables Trust                  | Ent Auto Receivables Trust 2023-1                                  | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      190903 | PA      | $192282.60    | 0.14%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                      | Republic of Poland Government Bond                                 | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1375000 | PA      | $384900.39    | 0.29%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          13 | NC      | $-772.77      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS IFS USD                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-25431.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Invesco U.S. CLO 2025-2, Ltd.               | Invesco US CLO 2023-3 Ltd                                          | CUSIP: 46091RAL7<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |      575000 | PA      | $576504.78    | 0.43%             | 2038-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                    | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      168000 | PA      | $170752.47    | 0.13%             | 2032-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-1443.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                     | Mexican Bonos                                                      | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    14000000 | PA      | $674727.28    | 0.50%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                    | Southwestern Public Service Co                                     | CUSIP: 845743BY8<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |      210000 | PA      | $210757.52    | 0.16%             | 2035-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | CHF/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1165.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4006.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS IFS GBP                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $76631.48     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/THB FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7311.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                    | Vantage Data Centers Issuer LLC                                    | CUSIP: 92212KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      583000 | PA      | $585342.84    | 0.44%             | 2048-03-16      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                               | Ballyrock CLO 24 Ltd                                               | CUSIP: 05875AAJ7<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |      545000 | PA      | $546493.85    | 0.41%             | 2038-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14673.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9993.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $49092.15     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3200.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBRIGACOES DO TESOURO                       | Portugal Obrigacoes do Tesouro OT                                  | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |      450000 | PA      | $507623.51    | 0.38%             | 2034-10-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4991.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-3092.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3724.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | CDS MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1554.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-520.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                             | WEA Finance LLC                                                    | CUSIP: 92928QAE8<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |       93000 | PA      | $91206.79     | 0.07%             | 2028-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                        | Sartorius Finance BV                                               | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $121321.37    | 0.09%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                    | WEA Finance LLC / Westfield UK & Europe Finance PLC                | CUSIP: 92890HAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      456000 | PA      | $380617.07    | 0.28%             | 2044-09-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      276000 | PA      | $275810.66    | 0.21%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $35078.23     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AES CORP/THE                                | AES Corp/The                                                       | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |       84000 | PA      | $85339.17     | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | CDS UNICREDIT SPA                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-3693.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                        | Colombian TES                                                      | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  4775000000 | PA      | $1217924.99   | 0.91%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                   | CUSIP: 3132DUAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      892026 | PA      | $895992.08    | 0.67%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                   | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      220000 | PA      | $240609.69    | 0.18%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FIN                      | Northumbrian Water Finance PLC                                     | CUSIP: 000000000<br>LEI: 213800JTFA6F3S7XX781 | Long             | DBT              | CORP              | GB        |      519000 | PA      | $710325.16    | 0.53%             | 2034-10-28      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                       | CUSIP: 02079KAS6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      292000 | PA      | $331060.42    | 0.25%             | 2045-05-06      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | HUF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1456.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10520.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRE              | DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND  | CUSIP: 000000000<br>LEI: 549300RBWL04JG8SIX57 | Long             | STIV             | RF                | US        |      785182 | NS      | $785181.77    | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                   | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1525000 | PA      | $1558478.51   | 1.16%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS INTERNATIONAL                 | SWOP CDS ITRAXX.EU.43.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    -9200000 | NC      | $-577.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                       | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   122050000 | PA      | $492832.07    | 0.37%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                    | Take-Two Interactive Software Inc                                  | CUSIP: 874054AN9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |       70000 | PA      | $72234.75     | 0.05%             | 2034-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5356.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21725.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                         | Republic of Austria Government Bond                                | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     1275000 | PA      | $1456103.08   | 1.09%             | 2034-02-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-87923.44    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12756.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16699.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3529.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $422.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12346.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                       | Japan Government Forty Year Bond                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   461800000 | PA      | $2349001.07   | 1.75%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                    | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     3875000 | PA      | $3852837.63   | 2.87%             | 2032-04-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | USD/CLP FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6605.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                     | Yorkshire Water Finance PLC                                        | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |      100000 | PA      | $138929.24    | 0.10%             | 2031-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2955.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                    | Brazil Notas do Tesouro Nacional Serie F                           | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    14720000 | PA      | $2183286.16   | 1.63%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                              | Czech Republic Government Bond                                     | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     4180000 | PA      | $179218.05    | 0.13%             | 2033-03-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-40078.14    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | USD/COP FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9539.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-39549.03    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA                     | Autostrade per l'Italia SpA                                        | CUSIP: 000000000<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |      216000 | PA      | $256197.79    | 0.19%             | 2036-02-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                         | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2350000 | PA      | $3158203.40   | 2.35%             | 2028-06-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                    | CUSIP: 000000000<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      100000 | PA      | $118092.74    | 0.09%             | 2030-07-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DSV FINANCE BV                              | DSV Finance BV                                                     | CUSIP: 000000000<br>LEI: 529900RTQQ0IIS4B3E03 | Long             | DBT              | CORP              | NL        |      125000 | PA      | $141667.57    | 0.11%             | 2034-11-06      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      160000 | PA      | $162728.51    | 0.12%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16542.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                          | Sweden Government Bond                                             | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     3575000 | PA      | $359673.39    | 0.27%             | 2035-05-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-22206.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                            | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      950000 | PA      | $922666.09    | 0.69%             | 2055-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I              | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      109028 | PA      | $106186.28    | 0.08%             | 2048-04-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                   | CUSIP: 31427MLM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      390647 | PA      | $391530.40    | 0.29%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HAMBURG COMMERCIAL BANK                     | Hamburg Commercial Bank AG                                         | CUSIP: 000000000<br>LEI: TUKDD90GPC79G1KOE162 | Long             | DBT              | CORP              | DE        |      500000 | PA      | $592488.36    | 0.44%             | 2028-07-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                    | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1780000 | PA      | $2022801.65   | 1.51%             | 2054-10-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-63862.86    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2694.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                   | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      240000 | PA      | $246043.68    | 0.18%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5917.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/CZK FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6971.99     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                       | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   165000000 | PA      | $626556.78    | 0.47%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | SEK/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2503.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                    | CUSIP: 3140QUSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      718020 | PA      | $733683.66    | 0.55%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                    | CUSIP: 3140XRAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      524931 | PA      | $536948.99    | 0.40%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6090.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $115308.23    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $21061.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         381 | NC      | $184759.91    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $52074.86     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | CDS VIRGIN MEDIA FINANCE PLC                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $26636.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                         | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2200000 | PA      | $2853655.38   | 2.13%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS IFS GBP                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $34870.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -16 | NC      | $1200.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28758.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                         | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  1485000000 | PA      | $1148612.63   | 0.86%             | 2052-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                          | USD/ZAR FORWARD                                                    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1630.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $33394.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC         | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-23989.07    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $957.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                             | SBA Tower Trust                                                    | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      695000 | PA      | $602852.04    | 0.45%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4512.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION       | CDS YUM! BRANDS INC                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-4158.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                    | Saudi Government International Bond                                | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      219000 | PA      | $251000.97    | 0.19%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                          | Denmark Government Bond                                            | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     1500000 | PA      | $276765.74    | 0.21%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/IDR FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $548.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL                     | Severn Trent Utilities Finance PLC                                 | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |      108000 | PA      | $138784.14    | 0.10%             | 2036-04-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | PEN/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1044.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $20544.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                      | Netherlands Government Bond                                        | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     1350000 | PA      | $1508550.30   | 1.12%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                     | Eni SpA                                                            | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $201882.04    | 0.15%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                     | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      260000 | PA      | $269934.20    | 0.20%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8462.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-35072.21    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                               | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      350000 | PA      | $357943.72    | 0.27%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $93008.71     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS ITRAXX.EU.XO.43.V1                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-29604.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                               | P3 Group Sarl                                                      | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |      400000 | PA      | $460532.40    | 0.34%             | 2032-04-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $887.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERNOD RICARD SA                            | Pernod Ricard SA                                                   | CUSIP: 000000000<br>LEI: 52990097YFPX9J0H5D87 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $226416.46    | 0.17%             | 2032-03-03      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2377.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $157.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2643.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      194000 | PA      | $203345.74    | 0.15%             | 2035-04-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5400.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                            | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      160000 | PA      | $149003.21    | 0.11%             | 2054-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $78913.70     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6861.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                        | Sartorius Finance BV                                               | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |      400000 | PA      | $479556.72    | 0.36%             | 2032-09-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11605.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                     | Hungary Government Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    44000000 | PA      | $91159.43     | 0.07%             | 2033-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14170.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/IDR FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $298.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/IDR FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7310.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                     | Ireland Government Bond                                            | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      525000 | PA      | $584492.51    | 0.44%             | 2034-10-18      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                            | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      280000 | PA      | $177961.79    | 0.13%             | 2051-05-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| RLGH FINANCE BERMUDA LTD                    | RLGH Finance Bermuda Ltd                                           | CUSIP: 000000000<br>LEI: 549300JARQYXR76TRX40 | Long             | DBT              | CORP              | BM        |      295000 | PA      | $330324.63    | 0.25%             | 2031-07-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                   | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1100000 | PA      | $1098152.34   | 0.82%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| ORANGE SA                                   | Orange SA                                                          | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |      400000 | PA      | $459620.89    | 0.34%             | 2035-05-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                       | Cellnex Finance Co SA                                              | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      300000 | PA      | $311282.27    | 0.23%             | 2032-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                       | Japan Government Twenty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   249250000 | PA      | $1428990.03   | 1.06%             | 2042-12-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                       | Rio Tinto Finance USA PLC                                          | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      160000 | PA      | $162590.96    | 0.12%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RHM9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      261000 | PA      | $272819.59    | 0.20%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | USD/SEK FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $39976.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $40926.37     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-26331.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/HUF FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-419.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                       | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     3650000 | PA      | $538452.25    | 0.40%             | 2032-09-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| TIF Funding III LLC                         | TIF Funding III LLC                                                | CUSIP: 88655AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      514800 | PA      | $510147.50    | 0.38%             | 2049-04-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| KERING                                      | Kering SA                                                          | CUSIP: 000000000<br>LEI: 549300VGEJKB7SVUZR78 | Long             | DBT              | CORP              | FR        |      800000 | PA      | $922966.41    | 0.69%             | 2031-09-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Gemgarto                                    | Gemgarto 2021-1 PLC                                                | CUSIP: 000000000<br>LEI: 635400KLHB2FIID9TE45 | Long             | ABS-MBS          | CORP              | GB        |       99115 | PA      | $131141.38    | 0.10%             | 2067-12-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2023-4                                  | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |      176460 | PA      | $176505.19    | 0.13%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-22219.97    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3642.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                             | WEA Finance LLC                                                    | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      380000 | PA      | $369837.06    | 0.28%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                    | CUSIP: 3140W0P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      585883 | PA      | $605114.37    | 0.45%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | CDS INTESA SANPAOLO SPA                                            | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-6791.61     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-785859.71   | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                       | CUSIP: 02079KAT4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      149000 | PA      | $168418.80    | 0.13%             | 2054-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      220000 | PA      | $230818.19    | 0.17%             | 2035-04-22      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| TELIA COMPANY AB                            | Telia Co AB                                                        | CUSIP: 000000000<br>LEI: 213800FSR9RNDUOTXO25 | Long             | DBT              | CORP              | SE        |      105000 | PA      | $123077.42    | 0.09%             | 2032-02-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2061.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                    | Electricite de France SA                                           | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      100000 | PA      | $115530.57    | 0.09%             | 2044-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2800.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          22 | NC      | $74782.95     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL GRID PLC                           | National Grid PLC                                                  | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |      125000 | PA      | $138645.24    | 0.10%             | 2034-03-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                    | Brazil Notas do Tesouro Nacional Serie F                           | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    12348000 | PA      | $1770412.73   | 1.32%             | 2035-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM AG                         | Deutsche Telekom AG                                                | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |      150000 | PA      | $161048.92    | 0.12%             | 2045-02-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10630.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                       | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     2950000 | PA      | $503380.33    | 0.38%             | 2053-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3256.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4864.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2221.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVERNMENT BOND                     | Romania Government Bond                                            | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1200000 | PA      | $268883.90    | 0.20%             | 2033-10-30      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                           | CUSIP: 00206RMV1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      100000 | PA      | $115909.69    | 0.09%             | 2033-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                 | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   -13350000 | NC      | $-673.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                         | Dow Chemical Co/The                                                | CUSIP: 260543DM2<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |      290000 | PA      | $268979.72    | 0.20%             | 2055-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                      | CAN 10YR BOND                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |         -33 | NC      | $3265.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Retained Vantage Data Centers               | Retained Vantage Data Centers Issuer LLC                           | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |      515000 | PA      | $508475.00    | 0.38%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1185.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK MILLENNIUM SA                          | Bank Millennium SA                                                 | CUSIP: 000000000<br>LEI: 259400OFDZ9KPZEO8K78 | Long             | DBT              | CORP              | PL        |      165000 | PA      | $197972.03    | 0.15%             | 2029-09-25      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24      | AUST 3YR BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        -178 | NC      | $49974.84     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-35303.96    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                              | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      548963 | PA      | $537949.78    | 0.40%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      318000 | PA      | $367496.84    | 0.27%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $31010.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                          | Peru Government Bond                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      440000 | PA      | $133717.13    | 0.10%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION       | CDS YUM! BRANDS INC                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-6237.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/MXN FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-155.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuers L              | Aligned Data Centers Issuer LLC                                    | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      379000 | PA      | $381129.37    | 0.28%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                      | TotalEnergies Capital International SA                             | CUSIP: 000000000<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $321567.40    | 0.24%             | 2045-03-03      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3583.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2452.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10041.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                            | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      460000 | PA      | $472397.67    | 0.35%             | 2033-08-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                     | Eni SpA                                                            | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      442000 | PA      | $426556.40    | 0.32%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6921.94     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                 | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      140000 | PA      | $134425.06    | 0.10%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                    | CUSIP: 3140XRN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1240936 | PA      | $1245218.09   | 0.93%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                 | CUSIP: 000000000<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      500000 | PA      | $621203.22    | 0.46%             | 2031-10-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GR                    | Motability Operations Group PLC                                    | CUSIP: 000000000<br>LEI: AZ3NL8JCZDCNUXFWI720 | Long             | DBT              | CORP              | GB        |      245000 | PA      | $284208.15    | 0.21%             | 2034-01-24      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-33643.86    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $52428.73     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                         | Carrier Global Corp                                                | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      240000 | PA      | $254245.94    | 0.19%             | 2034-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SUEZ                                        | Suez SACA                                                          | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      400000 | PA      | $499997.29    | 0.37%             | 2032-11-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                   | CUSIP: 3132DUU62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      756442 | PA      | $775042.85    | 0.58%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                   | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2125000 | PA      | $2106572.26   | 1.57%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MERCK KGAA                                  | Merck KGaA                                                         | CUSIP: 000000000<br>LEI: 529900OAREIS0MOPTW25 | Long             | DBT              | CORP              | DE        |      100000 | PA      | $115236.47    | 0.09%             | 2054-08-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MAGNA INTERNATIONAL INC                     | Magna International Inc                                            | CUSIP: 000000000<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |      160000 | PA      | $184470.33    | 0.14%             | 2031-05-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3598.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $156807.80    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-OAT                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -12 | NC      | $14071.19     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ONTARIO (PROVINCE OF)                       | Province of Ontario Canada                                         | CUSIP: 68333ZBF3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |      910000 | PA      | $657471.06    | 0.49%             | 2055-12-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                              | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      361811 | PA      | $414521.81    | 0.31%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $22096.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | KRW/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $473.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                    | CUSIP: 3140QVMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      956610 | PA      | $935969.97    | 0.70%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-58314.00    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/HUF FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5870.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3981.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                         | Malaysia Government Bond                                           | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     5100000 | PA      | $1299212.26   | 0.97%             | 2033-11-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                     | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      340000 | PA      | $345618.89    | 0.26%             | 2034-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Ford Auto Securitization Trust              | Ford Auto Securitization Trust II Series 2022-A Asset-Backed Notes | CUSIP: 345214AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     1107000 | PA      | $816388.53    | 0.61%             | 2028-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                      | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     2740000 | PA      | $1407332.93   | 1.05%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                 | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-136274.32   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5022.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AA BOND CO LTD                              | AA Bond Co Ltd                                                     | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |      290000 | PA      | $385808.26    | 0.29%             | 2027-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-160337.03   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $713.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2835.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                         | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     5500000 | PA      | $3235682.60   | 2.41%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AAREAL BANK AG                              | Aareal Bank AG                                                     | CUSIP: 000000000<br>LEI: EZKODONU5TYHW4PP1R34 | Long             | DBT              | CORP              | DE        |      200000 | PA      | $238633.65    | 0.18%             | 2034-12-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10344.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Tower Bridge Funding                        | Tower Bridge Funding 2021-2 PLC                                    | CUSIP: 000000000<br>LEI: 63540046RPZ8IOOPGL28 | Long             | ABS-MBS          | CORP              | GB        |      181778 | PA      | $240204.27    | 0.18%             | 2063-11-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2263.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                            | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      400000 | PA      | $394925.26    | 0.29%             | 2034-03-03      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                             | WEA Finance LLC                                                    | CUSIP: 92928QAD0<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      111000 | PA      | $87801.33     | 0.07%             | 2048-09-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                      | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      130000 | PA      | $110195.57    | 0.08%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         108 | NC      | $-46929.75    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                    | CUSIP: 3140XRAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      539352 | PA      | $540518.64    | 0.40%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/SGD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1476.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                       | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    15990000 | PA      | $2186344.54   | 1.63%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                         | Canadian Government Bond                                           | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     6050000 | PA      | $4307131.93   | 3.21%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                 | PepsiCo Inc                                                        | CUSIP: 713448EK0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      145000 | PA      | $150449.02    | 0.11%             | 2031-03-18      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                    | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |       75000 | PA      | $86600.73     | 0.06%             | 2034-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                      | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      120000 | PA      | $139979.84    | 0.10%             | 2035-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                            | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      495000 | PA      | $548820.65    | 0.41%             | 2030-05-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                    | Alexandria Real Estate Equities Inc                                | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |      243000 | PA      | $239431.79    | 0.18%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3832.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                      | Mitsubishi UFJ Financial Group Inc                                 | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $204299.22    | 0.15%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| RENTOKIL TERMINIX LLC                       | Rentokil Terminix Funding LLC                                      | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |      340000 | PA      | $341649.76    | 0.25%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                         | Canadian Government Bond                                           | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     1717000 | PA      | $808139.95    | 0.60%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                       | Japan Government Twenty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   427800000 | PA      | $2319823.43   | 1.73%             | 2043-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6779.64     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                | Amprion GmbH                                                       | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      500000 | PA      | $594334.89    | 0.44%             | 2032-09-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7624.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                      | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     2540000 | PA      | $1477903.04   | 1.10%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                         | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  1193700000 | PA      | $948129.51    | 0.71%             | 2032-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-              | AutoNation Finance Trust 2025-1                                    | CUSIP: 05330QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      113000 | PA      | $113487.78    | 0.08%             | 2029-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                       | GFL Environmental Inc                                              | CUSIP: 36168QAQ7<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |      400000 | PA      | $415035.08    | 0.31%             | 2031-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2896.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS ITRAXX.EU.43.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $557929.41    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2023-4 Mortgage Loan Trust                                    | CUSIP: 12598WAA0<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |      365521 | PA      | $370559.86    | 0.28%             | 2068-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-200.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                 | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    13350000 | NC      | $9844.38      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6226.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      128000 | PA      | $149950.78    | 0.11%             | 2034-03-21      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                 | Swiss Confederation Government Bond                                | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     1390000 | PA      | $1747873.88   | 1.30%             | 2032-06-27      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNILEVER FINANCE                            | Unilever Finance Netherlands BV                                    | CUSIP: 000000000<br>LEI: 549300SWJ4YK4LLNT176 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $115465.49    | 0.09%             | 2035-02-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1566.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | HKD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-85.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $26727.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | GBP/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-509.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-139906.85   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                      | Mitsubishi UFJ Financial Group Inc                                 | CUSIP: 606822DL5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      270000 | PA      | $279007.31    | 0.21%             | 2036-04-24      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TELENOR ASA                                 | Telenor ASA                                                        | CUSIP: 000000000<br>LEI: 549300IM1QSBY4SLPM26 | Long             | DBT              | CORP              | NO        |      242000 | PA      | $239005.09    | 0.18%             | 2031-09-25      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| RAIFFEISEN BANK INTL                        | Raiffeisen Bank International AG                                   | CUSIP: 000000000<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      100000 | PA      | $119049.13    | 0.09%             | 2029-08-21      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                           | National Grid PLC                                                  | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |      770000 | PA      | $707761.39    | 0.53%             | 2033-09-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         161 | NC      | $-55481.80    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FINNISH GOVERNMENT                          | Finland Government Bond                                            | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |      500000 | PA      | $574693.38    | 0.43%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                      | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     4345000 | PA      | $2426990.84   | 1.81%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7966.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I              | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      394000 | PA      | $396825.93    | 0.30%             | 2048-11-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | IDR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-323.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                       | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     9970000 | PA      | $2072488.68   | 1.54%             | 2070-05-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| ATHORA HOLDING LTD                          | Athora Holding Ltd                                                 | CUSIP: 000000000<br>LEI: 98450059DQ10TFC4B020 | Long             | DBT              | CORP              | BM        |      290000 | PA      | $354530.32    | 0.26%             | 2034-09-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | USD/COP FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6599.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                           | Hellenic Republic Government Bond                                  | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |      247000 | PA      | $303127.66    | 0.23%             | 2038-07-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS ITRAXX.EU.42.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1236.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                           | Store Capital LLC                                                  | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |       70000 | PA      | $70866.14     | 0.05%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-23

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

**Signature:** James Windels

**Name of Signer:** James Windels

**Title:** Treasurer