# EDGAR Filing Document

**Accession Number:** 0000053808
**File Stem:** 0000940400-25-013893
**Filing Date:** 2025-12
**Character Count:** 158066
**Document Hash:** a36afcfdf61db275a2d79f727a305308
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-013893.hdr.sgml**: 20251219

**ACCESSION NUMBER**: 0000940400-25-013893

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251219

**DATE AS OF CHANGE**: 20251219

**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:** 251587160

**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           |

## 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:** 2025-10-31

**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:** $140745717.20

**Total Liabilities:** $8798441.69

**Net Assets:** $131947275.51

**Cash Not Reported:** $4015158.99

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6.28973000 | **1-Year:** 982.61212000 | **5-Year:** 7784.30262000 | **10-Year:** 16709.97562000 | **30-Year:** -6754.39131000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 3924.39331000 | **10-Year:** 3163.06710000 | **30-Year:** 520.76647000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014125 | 2.44%                | 0.23%                | -1.23%               |
| Class ID C000014126 | 2.27%                | 0.08%                | -1.23%               |
| Class ID C000014127 | 2.45%                | 0.15%                | -1.12%               |
| Class ID C000130466 | 2.44%                | 0.15%                | -1.19%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $164327.81               | $1345719.08                                |
| Month 2  | $18606.06                | $497154.83                                 |
| Month 3  | $591827.89               | $-1251761.59                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Bank of America, National Association                             | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4865.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8919.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1274.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1585.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | THB/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1916.73     | -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      | $-30428.72    | -0.02%            |  |  |  | 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      | $-4443.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | SGD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-658.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7097.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1398.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $405.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10520.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $36600.30     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31709.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                    | SWOP CDS CDX.NA.IG.45.V1                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |    12600000 | NC      | $17185.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/KRW FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8071.32     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-324.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | EUR/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1143.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | KRW/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5305.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7423.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1607.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/DKK FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5244.01     | -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      | $-367.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-20894.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16262.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1679.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-OAT                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -40 | NC      | $-98906.49    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $93.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CDS TEVA PHARMACEUTICAL INDUSTRIES LIMITED                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-486.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5665.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $20242.81     | 0.02%             |  |  |  | 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      | $128.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | CLP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2421.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | KRW/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-140.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/SEK FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-53847.87    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/CNY FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $922.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1341.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-20396.67    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-22731.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | THB/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $428.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $453.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3377.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7964.53      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-56249.79    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2486.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19774.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-110.01      | -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      | $13.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/SGD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $832.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $30912.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | EUR/SEK FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-280.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/MXN FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $225.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $27457.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                    | SWOP CDS CDX.NA.IG.45.V1                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |   -12600000 | NC      | $-9226.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.44.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $40223.55     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-41867.22    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/COP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4483.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US LONG BOND(CBT)                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          21 | NC      | $48144.47     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $552.45       | 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      | $5028.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CAD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1411.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BUXL 30Y BND                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -1 | NC      | $-3436.83     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11888.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | HUF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $989.59       | 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      | $1276.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $64744.69     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/HUF FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1007.69     | -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      | $-26514.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $20582.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | SGD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $666.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11969.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1549.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3984.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/SGD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2082.84      | 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      | $6291.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          98 | NC      | $1524.89      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $57019.97     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10411.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1721.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-765175.23   | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                               | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              | CORP              | US        |    13700000 | NC      | $9851.64      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.44.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $167465.13    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11190.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | IDR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $221.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS CDX.NA.IG.45.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $185905.02    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2081.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18822.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $576.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                            | AUST 10Y BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         -20 | NC      | $962.75       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16643.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-628.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/IDR FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-329.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9157.39     | -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      | $-6068.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $504.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-289.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/COP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10997.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $75.23        | 0.00%             |  |  |  | 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      | $25834.00     | 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      | $1510.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $53899.67     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36614.31    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | IDR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $836.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16687.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                            | CAN 10YR BOND                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          22 | NC      | $43291.67     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-133.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $811.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12070.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          68 | NC      | $20268.78     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                                      | GBP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $81205.07     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-45125.02    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11887.05    | -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      | $208.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2727.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $214.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5390.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4449.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS CDX.NA.IG.45.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $132689.71    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1894.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-331.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/JPY FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5620.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4789.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | IDR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $898.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $741.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | KRW/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $138.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 10YR ULTRA                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -6 | NC      | $4442.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2488.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5060.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8123.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.FINSR.44.V1                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-45801.33    | -0.03%            |  |  |  | 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      | $-2901.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14251.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                            | AUST 3YR BOND                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |           2 | NC      | $-657.98      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11696.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | HKD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $28.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                               | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              | CORP              | US        |   -13700000 | NC      | $-2217.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $56109.46     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1200.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4252.31     | -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      | $33060.61     | 0.03%             |  |  |  | No            |                  1 | 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        |          55 | NC      | $-26018.60    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                       | US 2YR NOTE (CBT)                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -59 | NC      | $-11158.08    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11476.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15644.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/PLN FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3814.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10615.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | THB/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-922.50      | -0.00%            |  |  |  | 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        |           9 | NC      | $-2054.17     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CNH/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-284.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.EU.44.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $43575.52     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                             | CDS YUM! BRANDS INC                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-6665.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6094.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CDS TRANSDIGM INC                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-47292.78    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | TRS IBOXXMJA INDEX                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $3600.56      | 0.00%             |  |  |  | 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      | $-3179.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | TRS IBOXXMJA INDEX                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |           1 | NC      | $-6347.39     | -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      | $11315.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $11073.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | TRS IBOXIG INDEX                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |           1 | NC      | $-9062.87     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS USD                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-26684.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | TRS IBOXXMJA INDEX                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-3736.10     | -0.00%            |  |  |  | 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      | $-10540.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | TRS QW5A INDEX                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-1565.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | TRS IBOXXMJA INDEX                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |           1 | NC      | $14323.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS EUR                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $482033.74    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                         | IRS IFS USD                                                        | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-1091.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                               | Canadian Government Bond                                           | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      572000 | PA      | $276087.73    | 0.21%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2719.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                                           | Hungary Government Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    44000000 | PA      | $98113.33     | 0.07%             | 2033-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                                    | Czech Republic Government Bond                                     | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     4180000 | PA      | $181766.60    | 0.14%             | 2033-03-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                                               | Republic of Austria Government Bond                                | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     1275000 | PA      | $1477809.44   | 1.12%             | 2034-02-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                               | Province of Alberta Canada                                         | CUSIP: 013051ES2<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |      159000 | PA      | $114716.25    | 0.09%             | 2054-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| IRELAND GOVERNMENT BOND                                           | Ireland Government Bond                                            | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      525000 | PA      | $592741.91    | 0.45%             | 2034-10-18      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                              | Sartorius Finance BV                                               | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $124333.48    | 0.09%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                     | Ballyrock CLO 24 Ltd                                               | CUSIP: 05875AAJ7<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |      545000 | PA      | $546765.80    | 0.41%             | 2038-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FINNISH GOVERNMENT                                                | Finland Government Bond                                            | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |      500000 | PA      | $584526.83    | 0.44%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                          | FMC Corp                                                           | CUSIP: 302491AX3<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |      150000 | PA      | $143428.37    | 0.11%             | 2033-05-18      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| ATHORA HOLDING LTD                                                | Athora Holding Ltd                                                 | CUSIP: 000000000<br>LEI: 98450059DQ10TFC4B020 | Long             | DBT              | CORP              | BM        |      290000 | PA      | $363515.20    | 0.28%             | 2034-09-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | ZAR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $389.21       | 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      | $382732.43    | 0.29%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     3875000 | PA      | $3939042.98   | 2.99%             | 2032-04-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FINANCIAL SER                                          | Volkswagen Financial Services AG                                   | CUSIP: 000000000<br>LEI: 529900SSGT49ZZSWYE62 | Long             | DBT              | CORP              | DE        |      400000 | PA      | $465864.04    | 0.35%             | 2027-05-19      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| OBRIGACOES DO TESOURO                                             | Portugal Obrigacoes do Tesouro OT                                  | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |      450000 | PA      | $517271.02    | 0.39%             | 2034-10-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  1193700000 | PA      | $904387.12    | 0.69%             | 2032-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |       40000 | PA      | $25374.23     | 0.02%             | 2051-05-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      318000 | PA      | $373342.04    | 0.28%             | 2032-05-30      | Fixed         | 5.25%                 | 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      | $1534285.14   | 1.16%             | 2050-09-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4239400 | PA      | $4292723.68   | 3.25%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| POLAND GOVERNMENT BOND                                            | Republic of Poland Government Bond                                 | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1375000 | PA      | $393760.80    | 0.30%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/MYR FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1052.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSBANK WIEN AG                                                 | Volksbank Wien AG                                                  | CUSIP: 000000000<br>LEI: 529900D4CD6DIB3CI904 | Long             | DBT              | CORP              | AT        |      100000 | PA      | $119767.02    | 0.09%             | 2035-12-04      | Fixed         | 5.50%                 | 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        |      213037 | PA      | $205683.50    | 0.16%             | 2053-09-22      | Fixed         | 5.36%                 | 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      | $273691.78    | 0.21%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                         | Fannie Mae or Freddie Mac                                          | CUSIP: 01F0506B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -950000 | PA      | $-945365.29   | -0.72%            | 2055-11-15      | Fixed         | 5.00%                 | 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      | $2261232.74   | 1.71%             | 2043-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                               | Dow Chemical Co/The                                                | CUSIP: 260543DM2<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |      290000 | PA      | $274828.09    | 0.21%             | 2055-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4625000 | PA      | $4687871.09   | 3.55%             | 2035-05-15      | Fixed         | 4.25%                 | 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      | $150638.22    | 0.11%             | 2048-03-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers                                     | Retained Vantage Data Centers Issuer LLC                           | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |      515000 | PA      | $515661.21    | 0.39%             | 2048-09-15      | Fixed         | 5.00%                 | 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      | $586064.01    | 0.44%             | 2048-03-16      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | BRL/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-343.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     2950000 | PA      | $489811.17    | 0.37%             | 2053-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      960000 | PA      | $1144094.39   | 0.87%             | 2038-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AA BOND CO LTD                                                    | AA Bond Co Ltd                                                     | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |      290000 | PA      | $385721.72    | 0.29%             | 2027-07-31      | Fixed         | 5.50%                 | 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      | $473950.58    | 0.36%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1780000 | PA      | $2072569.63   | 1.57%             | 2054-10-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                                          | Thailand Government Bond                                           | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    34000000 | PA      | $1115026.54   | 0.85%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND                                                       | Swiss Confederation Government Bond                                | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |     1390000 | PA      | $1781348.69   | 1.35%             | 2032-06-27      | Fixed         | 0.50%                 | 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      | $2674633.70   | 2.03%             | 2033-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      950000 | PA      | $907902.83    | 0.69%             | 2055-05-25      | Fixed         | 3.25%                 | 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      | $140385.53    | 0.11%             | 2036-04-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6544.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2550000 | PA      | $2549601.56   | 1.93%             | 2032-08-31      | Fixed         | 3.88%                 | 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      | $1114179.68   | 0.84%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                    | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      695000 | PA      | $614967.83    | 0.47%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                 | General Mills Inc                                                  | CUSIP: 370334DC5<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |      140000 | PA      | $164041.97    | 0.12%             | 2032-04-17      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      160000 | PA      | $146522.29    | 0.11%             | 2054-05-25      | Fixed         | 3.00%                 | 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      | $2101585.94   | 1.59%             | 2030-03-31      | 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        |   165000000 | PA      | $604369.55    | 0.46%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      160000 | PA      | $168317.97    | 0.13%             | 2033-08-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                           | Mexican Bonos                                                      | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    14000000 | PA      | $711880.28    | 0.54%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| COLT Funding LLC                                                  | COLT 2023-2 Mortgage Loan Trust                                    | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |      178630 | PA      | $179842.77    | 0.14%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/THB FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1067.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                    | SWOP CDS CDX.NA.IG.45.V1                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |   -12600000 | NC      | $-6539.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2023-5                                  | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |      171457 | PA      | $172510.79    | 0.13%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                             | Cellnex Finance Co SA                                              | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |      100000 | PA      | $104480.93    | 0.08%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVERNMENT                                              | Singapore Government Bond                                          | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      875000 | PA      | $745188.61    | 0.56%             | 2033-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                                | Peru Government Bond                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      440000 | PA      | $145882.13    | 0.11%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3800000 | PA      | $3808386.71   | 2.89%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF DENMARK                                                | Denmark Government Bond                                            | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     1500000 | PA      | $280037.80    | 0.21%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    24740000 | PA      | $3431355.22   | 2.60%             | 2035-02-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                          | New South Wales Treasury Corp                                      | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     4126000 | PA      | $2151020.59   | 1.63%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | Morgan Stanley                                                     | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      389000 | PA      | $387011.77    | 0.29%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                          | Aptiv Swiss Holdings Ltd                                           | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      110000 | PA      | $71691.35     | 0.05%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2752.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                                   | United States Treasury Inflation Indexed Bonds                     | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      574905 | PA      | $317824.11    | 0.24%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                  | COLT 2023-4 Mortgage Loan Trust                                    | CUSIP: 12598WAA0<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-MBS          | CORP              | US        |      343183 | PA      | $348422.73    | 0.26%             | 2068-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $100359.38    | 0.08%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5500000 | PA      | $5480234.38   | 4.15%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| P3 GROUP SARL                                                     | P3 Group Sarl                                                      | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |      400000 | PA      | $472880.97    | 0.36%             | 2032-04-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                             | Province of Ontario Canada                                         | CUSIP: 68333ZBF3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     1469000 | PA      | $1092436.19   | 0.83%             | 2055-12-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      195000 | PA      | $218727.22    | 0.17%             | 2030-05-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                           | Yorkshire Water Finance PLC                                        | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |      100000 | PA      | $139247.73    | 0.11%             | 2031-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      325000 | PA      | $379054.14    | 0.29%             | 2029-02-25      | Fixed         | 2.75%                 | 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      | $164897.34    | 0.12%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $597.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                | Province of Quebec Canada                                          | CUSIP: 74814ZFQ1<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      405000 | PA      | $288107.16    | 0.22%             | 2055-12-01      | Fixed         | 4.40%                 | 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      | $2299671.11   | 1.74%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA/                                          | Anheuser-Busch InBev SA/NV                                         | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |      910000 | PA      | $1043954.11   | 0.79%             | 2028-03-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT                                            | Netherlands Government Bond                                        | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     1350000 | PA      | $1532092.12   | 1.16%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     5500000 | PA      | $3330163.81   | 2.52%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                               | Malaysia Government Bond                                           | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     5100000 | PA      | $1312146.36   | 0.99%             | 2033-11-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Ent Auto Receivables Trust                                        | Ent Auto Receivables Trust 2023-1                                  | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      142679 | PA      | $143688.00    | 0.11%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| HAMBURG COMMERCIAL BANK                                           | Hamburg Commercial Bank AG                                         | CUSIP: 000000000<br>LEI: TUKDD90GPC79G1KOE162 | Long             | DBT              | CORP              | DE        |      500000 | PA      | $599681.31    | 0.45%             | 2028-07-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FIN                                            | Northumbrian Water Finance PLC                                     | CUSIP: 000000000<br>LEI: 213800JTFA6F3S7XX781 | Long             | DBT              | CORP              | GB        |      519000 | PA      | $722642.92    | 0.55%             | 2034-10-28      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                           | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      575000 | PA      | $295616.83    | 0.22%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/BRL FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11550.49    | -0.01%            |  |  |  | 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        |      276116 | PA      | $277078.13    | 0.21%             | 2068-05-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      100000 | PA      | $89232.47     | 0.07%             | 2036-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                                      | Sunnova Hestia I Issuer LLC                                        | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       87618 | PA      | $88576.45     | 0.07%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     3650000 | PA      | $544799.75    | 0.41%             | 2032-09-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                              | Indonesia Treasury Bond                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 10580000000 | PA      | $700392.18    | 0.53%             | 2040-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                           | Romanian Government International Bond                             | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      116000 | PA      | $134021.42    | 0.10%             | 2037-10-07      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                                               | Canadian Government Bond                                           | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     6050000 | PA      | $4371114.76   | 3.31%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    17240000 | PA      | $2311233.19   | 1.75%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1520000 | PA      | $1540425.00   | 1.17%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      217591 | PA      | $227459.72    | 0.17%             | 2054-10-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS INTESA SANPAOLO SPA                                            | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-9541.13     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4800000 | PA      | $4820812.51   | 3.65%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |       60000 | PA      | $61195.14     | 0.05%             | 2034-03-03      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I                                    | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      109028 | PA      | $107652.69    | 0.08%             | 2048-04-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND | DREYFUS INSTITUTIONAL PREFERRED GOVERNMENT PLUS MONEY MARKET FUND  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     5158709 | NS      | $5158709.41   | 3.91%             |  |  |  | No            |                  1 | On Loan: No      |
| BUNDESSCHATZANWEISUNGEN                                           | Bundesschatzanweisungen                                            | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     1800000 | PA      | $2081528.13   | 1.58%             | 2027-03-11      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                  | Deutsche Bahn AG                                                   | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |       60000 | PA      | $34032.83     | 0.03%             | 2050-12-08      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                             | Japan Government Thirty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   474450000 | PA      | $2564545.01   | 1.94%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                                 | Hellenic Republic Government Bond                                  | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |      247000 | PA      | $308987.48    | 0.23%             | 2038-07-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                                             | Japan Government Twenty Year Bond                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   192250000 | PA      | $1073964.14   | 0.81%             | 2042-12-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2350000 | PA      | $3142839.99   | 2.38%             | 2028-06-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3777.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                              | Sartorius Finance BV                                               | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |      400000 | PA      | $489655.64    | 0.37%             | 2032-09-14      | Fixed         | 4.50%                 | 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      | $113861.83    | 0.09%             | 2029-11-13      | Fixed         | 4.62%                 | 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      | $805488.42    | 0.61%             | 2028-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      548963 | PA      | $539999.36    | 0.41%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                                            | New Zealand Government Bond                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      630000 | PA      | $368617.52    | 0.28%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      375000 | PA      | $446208.03    | 0.34%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140XRAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      526829 | PA      | $537691.45    | 0.41%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                   | United States Treasury Note/Bond                                   | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1525000 | PA      | $1591123.05   | 1.21%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2350000 | PA      | $2717443.32   | 2.06%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                                   | Kingdom of Belgium Government Bond                                 | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      775000 | PA      | $775149.81    | 0.59%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | MXN/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-214.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                            | Treasury Corp of Victoria                                          | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     1686000 | PA      | $1076839.68   | 0.82%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                                               | Korea Treasury Bond                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  1485000000 | PA      | $1071301.39   | 0.81%             | 2052-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                          | Queensland Treasury Corp                                           | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |      296000 | PA      | $188007.87    | 0.14%             | 2035-08-22      | Fixed         | 4.50%                 | 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      | $460461.14    | 0.35%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TIF Funding III LLC                                               | TIF Funding III LLC                                                | CUSIP: 88655AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      504075 | PA      | $503850.28    | 0.38%             | 2049-04-20      | Fixed         | 5.48%                 | 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        |    12391000 | PA      | $1943608.81   | 1.47%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Invesco CLO Ltd                                                   | Invesco US CLO 2023-3 Ltd                                          | CUSIP: 46091RAL7<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |      575000 | PA      | $576754.90    | 0.44%             | 2038-07-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| MERCK KGAA                                                        | Merck KGaA                                                         | CUSIP: 000000000<br>LEI: 529900OAREIS0MOPTW25 | Long             | DBT              | CORP              | DE        |      100000 | PA      | $117020.63    | 0.09%             | 2054-08-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                            | Treasury Corp of Victoria                                          | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |      206000 | PA      | $103853.81    | 0.08%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SWEDISH GOVERNMENT                                                | Sweden Government Bond                                             | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     3575000 | PA      | $366868.81    | 0.28%             | 2035-05-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $23374.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |      361811 | PA      | $417445.15    | 0.32%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Gemgarto                                                          | Gemgarto 2021-1 PLC                                                | CUSIP: 000000000<br>LEI: 635400KLHB2FIID9TE45 | Long             | ABS-MBS          | CORP              | GB        |       41286 | PA      | $54331.30     | 0.04%             | 2067-12-16      | Floating      | 4.87%                 | 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      | $398055.91    | 0.30%             | 2048-11-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| RLGH FINANCE BERMUDA LTD                                          | RLGH Finance Bermuda Ltd                                           | CUSIP: 000000000<br>LEI: 549300JARQYXR76TRX40 | Long             | DBT              | CORP              | BM        |      295000 | PA      | $337309.87    | 0.26%             | 2031-07-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2023-4                                  | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |      162084 | PA      | $162561.19    | 0.12%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                              | Colombian TES                                                      | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  7215000000 | PA      | $2010774.57   | 1.52%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                             | China Government Bond                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    10220000 | PA      | $2035178.51   | 1.54%             | 2070-05-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                                          | Spain Government Bond                                              | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |       75000 | PA      | $88149.11     | 0.07%             | 2034-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                    | European Union                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     1475000 | PA      | $1258619.02   | 0.95%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                               | Province of Alberta Canada                                         | CUSIP: 013051ED5<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |      160000 | PA      | $92026.67     | 0.07%             | 2050-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                             | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4883.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                   | CUSIP: 3132DUAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      405296 | PA      | $414438.44    | 0.31%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                               | United Kingdom Gilt                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2200000 | PA      | $2869057.09   | 2.17%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                    | CUSIP: 3140QVMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      936992 | PA      | $938914.88    | 0.71%             | 2054-10-01      | Fixed         | 5.00%                 | 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      | $601821.60    | 0.46%             | 2038-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                               | SWOP CDS CDX.NA.IG.44.V1                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              | CORP              | US        |   -13700000 | NC      | $-3693.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-34499.08    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/PEN FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2328.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15717.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3100.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13793.04     | 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      | $-81.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | SEK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12242.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS ELECTROLUX AB                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-620.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31655.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/MXN FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-231.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | MXN/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2355.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4219.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/HUF FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-351.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3264.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                 | EURO-BUND                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          58 | NC      | $16221.03     | 0.01%             |  |  |  | No            |                  1 | 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        |         -96 | NC      | $-370418.81   | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | KRW/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1959.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5601.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                      | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $51900.91     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | CDS UNICREDIT SPA                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |           1 | NC      | $-6873.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $224.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9967.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3007.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | USD/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7151.81     | -0.01%            |  |  |  | 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      | $-817.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $42318.51     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11702.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2525.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | CHF/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-59675.55    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | COP/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1516.44     | -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      | $29051.17     | 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      | $-4302.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                | LONG GILT                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -58 | NC      | $-213151.94   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | JPY/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $204857.66    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | ILS/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5972.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $24248.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | NOK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $703.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | NZD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19387.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | SEK/EUR FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1208.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/GBP FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1770.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5974.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-578.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | CAD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $28515.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | CZK/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4983.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/HUF FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2548.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                     | USD/CAD FORWARD                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3240.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-23351.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8467.84     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15135.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | USD/NZD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $107403.84    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                        | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-569216.10   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.FINSR.44.V1                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-49618.11    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/RON FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1532.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                          | EUR/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4874.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                      | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14445.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | USD/CHF FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10492.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | USD/NOK FORWARD                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                        | PLN/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-168.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                   | CDS ITRAXX.XO.44.V1                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-27843.80    | -0.02%            |  |  |  | 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      | $-248.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | AUD/USD FORWARD                                                    | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1442.62      | 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      | $27060.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | CDS TEVA PHARMACEUTICAL INDUSTRIES LIMITED                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-1112.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                             | USD/AUD FORWARD                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13804.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                           | USD/CNH FORWARD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21394.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-19

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

**Signature:** James Windels

**Name of Signer:** James Windels

**Title:** Treasurer