# EDGAR Filing Document

**Accession Number:** 0000053808
**File Stem:** 0000940400-26-025738
**Filing Date:** 2026-6
**Character Count:** 176455
**Document Hash:** 7c9e04f4f448c6a89d29c379b8736217
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-025738.hdr.sgml**: 20260626

**ACCESSION NUMBER**: 0000940400-26-025738

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260626

**DATE AS OF CHANGE**: 20260626

**PERIOD START**: 20261031

**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:** 261125138

**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:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $143157027.22

**Total Liabilities:** $4101575.96

**Net Assets:** $139055451.26

**Cash Not Reported:** $6297977.90

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 44.49350000 | **1-Year:** 2060.62986000 | **5-Year:** 26707.53897000 | **10-Year:** 20930.97129000 | **30-Year:** -3047.49102000

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

- **3-Month:** 0.00000000 | **1-Year:** 121.61336000 | **5-Year:** 4274.30940000 | **10-Year:** 2656.16319000 | **30-Year:** 444.43564000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014125 | 0.94%                | -4.26%               | 2.02%                |
| Class ID C000014126 | 0.84%                | -4.25%               | 1.83%                |
| Class ID C000014127 | 0.92%                | -4.16%               | 1.97%                |
| Class ID C000130466 | 0.91%                | -4.21%               | 2.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-966645.21              | $2789585.12                                |
| Month 2  | $45974.49                | $-6164093.13                               |
| Month 3  | $-12635.25               | $1377259.20                                |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate ex US unhedged

- **Index Identifier:** LEH:LHMN3121

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MORGAN STANLEY & CO. LLC                                                                 | USD/ILS FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $23842.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-396.20      | -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      | $6973.52      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | USD/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3003.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | CNY/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9147.37     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | NZD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-65.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | CNH/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6617.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/SEK FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-326.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                          | CDS ITRAXX.EU.45.V1                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $729410.10    | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/CAD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10946.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | SEK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5309.26      | 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      | $20738.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/HUF FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10640.50    | -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      | $-5404.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | NOK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7693.75     | -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      | $-47302.94    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/DKK FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2964.23      | 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      | $15488.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | CNH/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2317.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | CHF/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7498.66     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | MYR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3925.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8699.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | USD/CHF FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8716.83     | -0.01%            |  |  |  | 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      | $13054.96     | 0.01%             |  |  |  | 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      | $2854.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/SEK FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2268.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | USD/CNH FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-176.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/JPY FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2248.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14746.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | SEK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $306.52       | 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      | $33797.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | CAD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8783.59     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $23669.25     | 0.02%             |  |  |  | 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      | $2230.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6225.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/CNH FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $904.28       | 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      | $25612.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                              | CDS ELECTROLUX AB                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |          1 | NC      | $1584.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | EUR/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-913.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                    | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-66.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $735.45       | 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      | $42770.46     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                                             | JPY/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $140395.48    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | AUD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8371.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                                                   | Ten-Year Government of Canada Bond Futures, Jun-2026              | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |        -17 | NC      | $33137.34     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | USD/PLN FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3137.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | USD/NZD FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $559.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $72.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-251.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | NOK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7965.68     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/JPY FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2217.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | CNH/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-41.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | USD/AUD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-34204.45    | -0.02%            |  |  |  | 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      | $1740.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/MXN FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6008.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/JPY FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5094.06     | -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      | $22043.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | SEK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7658.32     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/CAD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5465.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2561.00      | 0.00%             |  |  |  | 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      | $-78562.12    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                                                                   | ASX 10 Year Treasury Bond Futures                                 | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DIR              | CORP              | AU        |        220 | NC      | $-232154.89   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | JPY/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12152.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5216.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/NOK FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-54684.70    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                                                                   | ASX 3 Year Treasury Bond Futures                                  | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DIR              | CORP              | AU        |          2 | NC      | $-974.54      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                        | Long(FBTP) Term Euro                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          8 | NC      | $-17714.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/CHF FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3601.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                    | USD/JPY FORWARD                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3920.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                                                    | CDS YUM! BRANDS INC                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-6303.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                    | USD/CHF FORWARD                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2851.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-15356.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | CAD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3185.27     | -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      | $10585.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                        | Euro(FGBS) Schatz Futures                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        112 | NC      | $-118392.14   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | COP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-37329.37    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/CAD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-52071.51    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | NZD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4231.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | EUR/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3234.45     | -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      | $-43388.28    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                                                                    | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1007.93     | -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      | $294486.63    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | NOK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5463.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | CHF/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4286.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/NZD FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5763.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                          | CDS CDX.NA.IG.46.V1                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-165177.50   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                          | CDS CDX.NA.IG.46.V1                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-160521.49   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-28120.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | CNH/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1555.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | PEN/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $15413.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | U.S. Treasury Bond Futures, Jun-2026,ETH                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          5 | NC      | $-19954.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                          | CDS ITRAXX.EU.FINSR.45.V1                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-684422.75   | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                                             | AUD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5648.98     | -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      | $4290.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                                                    | CDS YUM! BRANDS INC                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-4202.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | USD/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $15314.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | CHF/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $102.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | RON/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $393.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                          | CDS ITRAXX.EU.XO.45.V1                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-21787.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | AUD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4741.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | SEK/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1012.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | THB/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $270.10       | 0.00%             |  |  |  | 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      | $411.71       | 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      | $-10201.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                        | Euro(FOAT) OAT Futures                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -41 | NC      | $112243.49    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | 2-Year T-Note Futures, Jun-2026,ETH                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -9 | NC      | $16199.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | HUF/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8355.71     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                              | SWOP CDS ITRAXX.XO.45.V1                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    1850000 | NC      | $8938.76      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | IDR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-17336.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -107 | NC      | $220177.06    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/SEK FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $18877.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | AUD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $34142.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | AUD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-299.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/JPY FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6354.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | USD/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-204.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                        | Euro(FGBL) Bund Futures                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         11 | NC      | $1275.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11140.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -161 | NC      | $616603.64    | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/CAD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11769.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5757.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                              | CDS ELECTROLUX AB                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |          1 | NC      | $739.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                           | SWOP CDS ITRAXX.EU.44.V1                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |    9200000 | NC      | $1489.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                                                                | 10-YEAR JGB TRADE FUTURE, JUN 2026                                | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          1 | NC      | $-13485.39    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | CNH/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $695.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/NZD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12799.86     | 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      | $-8615.37     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | USD/NZD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $377.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | USD/AUD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-524.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | CNH/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1366.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                                       | Long Gilt Future - ICEU, Jun26                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        -43 | NC      | $301135.06    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/ZAR FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-572.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                              | CDS UNICREDIT SPA                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |          1 | NC      | $-7800.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                        | Euro(FGBM) Bobl Futures                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         74 | NC      | $-183489.57   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | CDS VIRGIN MEDIA FINANCE PLC                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $16899.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | SEK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11639.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS IFS GBP                                                       | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-46573.91    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK, NATIONAL ASSOCIATION                                                | TRS IBOXIG INDEX                                                  | CUSIP: 000000000<br>LEI: G1MLHIS0N32I3QPILB75 | N/A              | DIR              | CORP              | US        |          1 | NC      | $95024.88     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS EUR                                                           | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-58533.31    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS IFS EUR                                                       | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $170473.50    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS IFS USD                                                       | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-6222.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS SEK                                                           | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $34759.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS EUR                                                           | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $38760.18     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS EUR                                                           | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-59108.81    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS EUR                                                           | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-162035.27   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS IFS USD                                                       | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-2489.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                       | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2160.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                                | IRS SEK                                                           | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $15113.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA, HER MAJESTY IN RIGHT OF - DEPARTMENT OF FINANCE                                  | CAN 1.75 12/01/53                                                 | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     293000 | PA      | $136652.09    | 0.10%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CZECH, REPUBLIC - MINISTRY OF FINANCE                                                    | CZGB 3 03/03/33 156                                               | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    6980000 | PA      | $303381.05    | 0.22%             | 2033-03-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AUSTRIA, REPUBLIC OF - AUSTRIAN FEDERAL FINANCING AGENCY                                 | RAGB 2.9 02/20/34                                                 | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |    1150000 | PA      | $1328059.82   | 0.96%             | 2034-02-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ALBERTA (AB), PROVINCE OF - DEPUTY PROVINCIAL TREASURER                                  | ALTA 4.45 12/01/54                                                | CUSIP: 013051ES2<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | MUN               | CA        |     159000 | PA      | $113222.61    | 0.08%             | 2054-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HUNGARY, REPUBLIC OF - MINISTRY OF FINANCE                                               | HGB 7 10/24/35 35/A                                               | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   41000000 | PA      | $141940.24    | 0.10%             | 2035-10-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC COMPANY                                                           | PCG 5.2 05/01/36                                                  | CUSIP: 694308LA3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     271000 | PA      | $264070.16    | 0.19%             | 2036-05-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES - SECRETARIA DE HACIENDA Y CREDITO PUBLICO                         | MEX 5.625 09/22/35                                                | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $196100.00    | 0.14%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| IRELAND, REPUBLIC OF - NATIONAL TREASURY MANAGEMENT AGENCY                               | IRISH 2.6 10/18/34                                                | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     525000 | PA      | $593473.46    | 0.43%             | 2034-10-18      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                                     | SRTGR 4.875 09/14/35                                              | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $122963.60    | 0.09%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                              | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1307.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BALLYROCK CLO 24 LTD                                                                     | BALLY 2023-24A A1R                                                | CUSIP: 05875AAJ7<br>LEI: 254900B0CDDYIJW8YL36 | Long             | ABS-CBDO         | CORP              | JE        |     545000 | PA      | $546052.94    | 0.39%             | 2038-07-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                        | ARCC 5.8 03/08/32                                                 | CUSIP: 04010LBH5<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     130000 | PA      | $129183.61    | 0.09%             | 2032-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| AAREAL BANK AG                                                                           | AARB V5.625 12/12/34 EMTN                                         | CUSIP: 000000000<br>LEI: EZKODONU5TYHW4PP1R34 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $361124.48    | 0.26%             | 2034-12-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FINLAND, REPUBLIC OF - MINISTRY OF FINANCE                                               | RFGB 3 09/15/33 10Y                                               | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     500000 | PA      | $581313.73    | 0.42%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF - MINISTRY OF FINANCE                                               | ROMANI 6.75 07/11/39 REGS                                         | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      87000 | PA      | $103588.90    | 0.07%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS ISSUER LLC                                                          | ADC 2023-1A A2                                                    | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     379000 | PA      | $380001.62    | 0.27%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE BANK                                                                    | WAL V6.537 11/15/35                                               | CUSIP: 95758BCL1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | DBT              | CORP              | US        |     260000 | PA      | $257216.70    | 0.18%             | 2035-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF - MINISTERIO DE ECONOMIA Y HACIENDA                                    | SPGB 0.7 04/30/32                                                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    3875000 | PA      | $3968710.39   | 2.85%             | 2032-04-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BOERSE AG                                                                       | DBOERS 3.875 09/28/26                                             | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | Long             | DBT              | CORP              | DE        |     900000 | PA      | $1060611.75   | 0.76%             | 2026-09-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FINANCIAL SERVICES AG                                                         | VW 3.25 05/19/27                                                  | CUSIP: 000000000<br>LEI: 529900SSGT49ZZSWYE62 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $470207.92    | 0.34%             | 2027-05-19      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | USD/CAD FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8238.31     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SUEZ SA                                                                                  | SUEZFP 5 11/03/32 EMTN                                            | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $374643.28    | 0.27%             | 2032-11-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PORTUGAL, REPUBLIC OF - MINISTRY OF FINANCE                                              | PGB 2.875 10/20/34 11Y                                            | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     500000 | PA      | $570367.49    | 0.41%             | 2034-10-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA, REPUBLIC OF - MINISTRY OF ECONOMY AND FINANCE                               | KTB 4.25 12/10/32 3212                                            | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1193700000 | PA      | $821644.49    | 0.59%             | 2032-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                                         | DBHNGR 1.125 05/29/51 EMTN                                        | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      10000 | PA      | $6198.48      | 0.00%             | 2051-05-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| MINISTERO DELL'ECONOMIA E DELLE FINANZE - DIPARTIMENTO DEL TESORO                        | BTPS 2.45 09/01/50 30Y                                            | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1785000 | PA      | $1470922.24   | 1.06%             | 2050-09-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 4.25 08/15/35                                                   | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4539400 | PA      | $4500389.53   | 3.24%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| POLAND, REPUBLIC OF - STATE TREASURY                                                     | POLGB 6 10/25/33 1033                                             | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    1375000 | PA      | $390135.17    | 0.28%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLKSBANK WIEN AG                                                                        | VOWIBA V5.5 12/04/35                                              | CUSIP: 000000000<br>LEI: 529900D4CD6DIB3CI904 | Long             | DBT              | CORP              | AT        |     300000 | PA      | $362731.79    | 0.26%             | 2035-12-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2023-2                                                           | MSAIC 2023-2A A                                                   | CUSIP: 61945WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     204759 | PA      | $194265.39    | 0.14%             | 2053-09-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| JT INTERNATIONAL FINANCIAL SERVICES BV                                                   | JAPTOB V3.87 09/04/55                                             | CUSIP: 000000000<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $113954.48    | 0.08%             | 2055-09-04      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                       | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2047.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING (AESOP) LLC                                               | AESOP 2023-8A A                                                   | CUSIP: 05377RHM9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     261000 | PA      | $270167.18    | 0.19%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE COMPANY SAU                                                              | CLNXSM 3.5 05/22/32 EMTn                                          | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $115408.38    | 0.08%             | 2032-05-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC COMPANY                                                           | PCG 6 05/01/56                                                    | CUSIP: 694308LB1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     123000 | PA      | $117256.46    | 0.08%             | 2056-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JAPAN, GOVERNMENT OF - MINISTRY OF FINANCE                                               | JGB 1.1 03/20/43 184                                              | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  427800000 | PA      | $1985141.75   | 1.43%             | 2043-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 4.25 05/15/35                                                   | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1625000 | PA      | $1613002.93   | 1.16%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| RETAINED VANTAGE DATA CENTERS ISSUER LLC                                                 | VDCR 2023-1A A2A                                                  | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |     515000 | PA      | $512880.47    | 0.37%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHINA, PEOPLE'S REPUBLIC OF - MINISTRY OF FINANCE                                        | CGB 3 10/15/53 INBK                                               | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    2950000 | PA      | $497688.75    | 0.36%             | 2053-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FRANCE, REPUBLIC OF - MINISTERE DE L'ECONOMIE, DES FINANCES ET DE L'INDUSTRIE            | FRTR 4 10/25/38 OAT                                               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     960000 | PA      | $1136152.82   | 0.82%             | 2038-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAPAN, GOVERNMENT OF - MINISTRY OF FINANCE                                               | JGB 0.7 12/20/50 69                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   17050000 | PA      | $56986.89     | 0.04%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| MINISTERO DELL'ECONOMIA E DELLE FINANZE - DIPARTIMENTO DEL TESORO                        | BTPS 4.3 10/01/54 30Y                                             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1780000 | PA      | $2007830.08   | 1.44%             | 2054-10-01      | Fixed         | 4.30%                 | 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      | $634.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND, KINGDOM OF - MINISTRY OF FINANCE                                               | THAIGB 2.41 03/17/35                                              | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   30760000 | PA      | $964387.62    | 0.69%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF - MINISTRY OF FINANCE                                               | ROMANI 6.125 10/07/37 REGS                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     107000 | PA      | $122987.48    | 0.09%             | 2037-10-07      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND, CONFEDERATION OF - MINISTRY OF FINANCE                                      | SWISS 0.5 06/27/32                                                | CUSIP: 000000000<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |    1390000 | PA      | $1801710.23   | 1.30%             | 2032-06-27      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MINISTERO DELL'ECONOMIA E DELLE FINANZE - DIPARTIMENTO DEL TESORO                        | BTPS 4.4 05/01/33 10Y                                             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1625000 | PA      | $2014724.34   | 1.45%             | 2033-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT UTILITIES FINANCE PLC                                                       | SVTLN 5.25 04/04/36 EMTN                                          | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |     108000 | PA      | $138403.03    | 0.10%             | 2036-04-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                              | EXC 5.875 03/15/55                                                | CUSIP: 30161NBS9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     190000 | PA      | $184763.60    | 0.13%             | 2055-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| FRANCE, REPUBLIC OF - MINISTERE DE L'ECONOMIE, DES FINANCES ET DE L'INDUSTRIE            | FRTR 3.25 05/25/55 OAT                                            | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     950000 | PA      | $896705.36    | 0.64%             | 2055-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 3.875 08/31/32                                                  | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1574687.50   | 1.13%             | 2032-08-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                          | SBATOW 2.593 10/15/31 144A                                        | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     695000 | PA      | $621229.85    | 0.45%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FRANCE, REPUBLIC OF - MINISTERE DE L'ECONOMIE, DES FINANCES ET DE L'INDUSTRIE            | FRTR 3 05/25/54 OAT                                               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     160000 | PA      | $144622.60    | 0.10%             | 2054-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | 5-Year T-Note Futures, Jun-2026,ETH                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -30 | NC      | $16373.34     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN, GOVERNMENT OF - MINISTRY OF FINANCE                                               | JGB 0.4 03/20/50 66                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |     900000 | PA      | $2815.84      | 0.00%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                       | MUFG V5.057 01/14/37                                              | CUSIP: 606822DT8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     572000 | PA      | $560760.21    | 0.40%             | 2037-01-14      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| COLT 2023-2 MORTGAGE LOAN TRUST                                                          | COLT 2023-2 A1                                                    | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-O            | CORP              | US        |     143298 | PA      | $143394.11    | 0.10%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| SIERRA PACIFIC POWER COMPANY                                                             | BRKHEC V6.375 09/15/56                                            | CUSIP: 826418BS3<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |     650000 | PA      | $647600.27    | 0.47%             | 2056-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | TII 2.375 02/15/55                                                | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1625390 | PA      | $1509659.44   | 1.09%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF - DIRECCION GENERAL DE CREDITO PUBLICO                                 | PERU 6.9 08/12/37 REGS                                            | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3700000 | PA      | $1069481.50   | 0.77%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| APOLLO DEBT SOLUTIONS BDC                                                                | APODS 5.7 01/23/31 144A                                           | CUSIP: 03770DAL7<br>LEI: 549300UMUGX092P8DW87 | Long             | DBT              | CORP              | US        |     220000 | PA      | $216322.11    | 0.16%             | 2031-01-23      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                             | GOOGL 5.65 02/15/56                                               | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     580000 | PA      | $569283.70    | 0.41%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-5                                                        | VERUS 2023-5 A1                                                   | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-O            | CORP              | US        |     135421 | PA      | $135352.70    | 0.10%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM - THE LORD COMMISSIONERS OF HER MAJESTY'S TREASURY DEBT MANAGEMENT OFFICE | UKT 5.375 01/31/56                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     150000 | PA      | $194863.14    | 0.14%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/MXN FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-468.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 4 11/15/35                                                      | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6600000 | PA      | $6405609.41   | 4.61%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 3.625 12/31/30                                                  | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3100000 | PA      | $3049503.91   | 2.19%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE COMPANY SAU                                                              | CLNXSM 2 02/15/33 EMTN                                            | CUSIP: 000000000<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $103429.33    | 0.07%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SINGAPORE, GOVERNMENT OF                                                                 | SIGB 3.375 09/01/33                                               | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     875000 | PA      | $752494.60    | 0.54%             | 2033-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Dreyfus Institutional Preferred Money Market Funds                                       | DREYFUS INSTITUTIONAL PREFERRED MONEY MARKET FUNDS INST PFD PL MM | CUSIP: 26200T208<br>LEI: 549300RBWL04JG8SIX57 | Long             | STIV             | RF                | US        |     204235 | NS      | $204235.42    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| PERU, REPUBLIC OF - DIRECCION GENERAL DE CREDITO PUBLICO                                 | PERUGB 7.3 08/12/33                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     440000 | PA      | $137814.60    | 0.10%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| DENMARK, KINGDOM OF - MINISTRY OF FINANCE                                                | DGB 4.5 11/15/39 31Y                                              | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    1500000 | PA      | $273268.42    | 0.20%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHINA, PEOPLE'S REPUBLIC OF - MINISTRY OF FINANCE                                        | CGB 1.61 02/15/35 INBK                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   25240000 | PA      | $3660451.97   | 2.63%             | 2035-02-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                         | PSD V7.25 09/15/56 144a                                           | CUSIP: 745310AT9<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |      60000 | PA      | $60366.66     | 0.04%             | 2056-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORP                                                            | NSWTC 1.75 03/20/34                                               | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    4126000 | PA      | $2271522.12   | 1.63%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $34510.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | USD/NZD FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3014.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | MS V4.892 10/22/36 I                                              | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     389000 | PA      | $377644.50    | 0.27%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                                                 | APTV 3.1 12/01/51                                                 | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     100000 | PA      | $60048.03     | 0.04%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | TII 0.125 02/15/52                                                | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2429973 | PA      | $1267123.20   | 0.91%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| COLT 2023-4 MORTGAGE LOAN TRUST                                                          | COLT 2023-4 A1                                                    | CUSIP: 12598WAA0<br>LEI: 213800EHDFO4A3F7P416 | Long             | ABS-O            | CORP              | US        |     264863 | PA      | $266920.45    | 0.19%             | 2068-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 3.625 09/30/30                                                  | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1150000 | PA      | $1132705.08   | 0.81%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ONTARIO (ON), PROVINCE OF - ONTARIO FINANCIAL AUTHORITY                                  | ONT 4.6 12/02/55                                                  | CUSIP: 68333ZBF3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | MUN               | CA        |    1469000 | PA      | $1072785.82   | 0.77%             | 2055-12-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                                                              | KEL 6.6011 04/17/31 .                                             | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $140763.24    | 0.10%             | 2031-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF - MINISTRY OF FINANCE                                               | ROMGB 6.75 04/25/35 11Y                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     700000 | PA      | $153189.88    | 0.11%             | 2035-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FRANCE, REPUBLIC OF - MINISTERE DE L'ECONOMIE, DES FINANCES ET DE L'INDUSTRIE            | FRTR 2.75 02/25/29 OAT                                            | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     325000 | PA      | $380195.91    | 0.27%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING (AESOP) LLC                                               | AESOP 2025-2A A                                                   | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     160000 | PA      | $162493.22    | 0.12%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/PLN FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2062.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEBEC, PROVINCE OF - DIRECTION DE L'EMISSION DES EMPRUNTS MINISTRE DES FINANCES         | Q 4.4 12/01/55                                                    | CUSIP: 74814ZFQ1<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | MUN               | CA        |     405000 | PA      | $282726.29    | 0.20%             | 2055-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                                      | GPN 5.55 11/15/35                                                 | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     330000 | PA      | $318469.90    | 0.23%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| JAPAN, GOVERNMENT OF - MINISTRY OF FINANCE                                               | JGB 2.2 03/20/64 17                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  560850000 | PA      | $2449605.65   | 1.76%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV SA/NV                                                               | ABIBB 2 03/17/28 EMTN                                             | CUSIP: 000000000<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |     910000 | PA      | $1050052.95   | 0.76%             | 2028-03-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEDERLAND, DUTCH STATE TREASURY AGENCY                                                   | NETHER 2.5 07/15/34                                               | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |    1200000 | PA      | $1354891.14   | 0.97%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM - THE LORD COMMISSIONERS OF HER MAJESTY'S TREASURY DEBT MANAGEMENT OFFICE | UKT 1.5 07/31/53                                                  | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    5500000 | PA      | $3150706.68   | 2.27%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA, FEDERATION OF                                                                  | MGS 4.642 11/07/33 0318                                           | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    4450000 | PA      | $1202186.24   | 0.86%             | 2033-11-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1                                                        | ENT 2023-1A A3                                                    | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      63858 | PA      | $64095.42     | 0.05%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| HAMBURG COMMERCIAL BANK AG                                                               | HCOB 4.5 07/24/28 EMTN                                            | CUSIP: 000000000<br>LEI: TUKDD90GPC79G1KOE162 | Long             | DBT              | CORP              | DE        |     500000 | PA      | $599198.11    | 0.43%             | 2028-07-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FINANCE PLC                                                           | NWGLN 6.375 10/28/34 EMTN                                         | CUSIP: 000000000<br>LEI: 213800JTFA6F3S7XX781 | Long             | DBT              | CORP              | GB        |     399000 | PA      | $552060.78    | 0.40%             | 2034-10-28      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | GBP/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2206.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                                 | QTC 1.75 07/20/34                                                 | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     575000 | PA      | $311567.18    | 0.22%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                           | MS V3.981 01/23/37 GMTN                                           | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     433000 | PA      | $501600.49    | 0.36%             | 2037-01-23      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                           | AMZN 5.8 03/13/56                                                 | CUSIP: 023135DH6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     216000 | PA      | $212744.89    | 0.15%             | 2056-03-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF - SECRETARIA DO TESOURO NACIONAL                          | BRAZIL 5.5 04/23/36                                               | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     141000 | PA      | $165499.54    | 0.12%             | 2036-04-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES - SECRETARIA DE HACIENDA Y CREDITO PUBLICO                         | MBONO 8 02/21/36 M                                                | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   14000000 | PA      | $738232.82    | 0.53%             | 2036-02-21      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| A&D MORTGAGE TRUST 2023-NQM2                                                             | ADMT 2023-NQM2 A1                                                 | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     222056 | PA      | $221549.58    | 0.16%             | 2068-05-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA, REPUBLIC OF - MINISTRY OF ECONOMY AND FINANCE                               | KTB 2.625 06/10/35 3506                                           | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 6430000000 | PA      | $3899032.26   | 2.80%             | 2035-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                        | ES V6.1 08/15/56 A                                                | CUSIP: 30040WBC1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      90000 | PA      | $89669.37     | 0.06%             | 2056-08-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NIGERIA, FEDERAL REPUBLIC OF - DEBT MANAGEMENT OFFICE (THE)                              | NGERIA 8.6308 01/13/36 144A                                       | CUSIP: 65412AFF4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     200000 | PA      | $219434.78    | 0.16%             | 2036-01-13      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                                         | DBHNGR 0.625 04/15/36 EMTN                                        | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $88595.08     | 0.06%             | 2036-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                       | USD/CHF FORWARD                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1104.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNNOVA HESTIA I ISSUER LLC                                                              | SNVA 2023-GRID1 1A                                                | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      85485 | PA      | $83338.50     | 0.06%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA, REPUBLIC OF - MINISTRY OF ECONOMY AND FINANCE                               | KTB 3.25 03/10/53 5303                                            | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  270000000 | PA      | $163832.06    | 0.12%             | 2053-03-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHINA, PEOPLE'S REPUBLIC OF - MINISTRY OF FINANCE                                        | CGB 2.6 09/01/32 INBK                                             | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    3650000 | PA      | $567525.69    | 0.41%             | 2032-09-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF - MINISTRY OF FINANCE                                               | ROMANI 6.125 10/07/37 144A                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     116000 | PA      | $133332.22    | 0.10%             | 2037-10-07      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CANADA, HER MAJESTY IN RIGHT OF - DEPARTMENT OF FINANCE                                  | CAN 3.25 12/01/34                                                 | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    6050000 | PA      | $4377904.44   | 3.15%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHINA, PEOPLE'S REPUBLIC OF - MINISTRY OF FINANCE                                        | CGB 1.92 01/15/55 INBK                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   17240000 | PA      | $2326114.48   | 1.67%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                                     | HTHROW 3.875 01/16/36 EMTN                                        | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | ABS-O            | CORP              | JE        |     330000 | PA      | $377837.49    | 0.27%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WINTERSHALL DEA FINANCE 2 BV                                                             | HBRLN V3 PERP NC8                                                 | CUSIP: 000000000<br>LEI: 529900DV88FUQZSVVL48 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $226434.64    | 0.16%             | N/A             | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR FINANCE (NETHERLANDS) BV                                                    | TOYOTA 3.125 04/21/28 EMTN                                        | CUSIP: 000000000<br>LEI: 724500OPA8GZSQUNSR96 | Long             | DBT              | CORP              | NL        |     550000 | PA      | $645349.34    | 0.46%             | 2028-04-21      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 4.75 05/15/55                                                   | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1520000 | PA      | $1461664.06   | 1.05%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12666.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DATABANK ISSUER LLC                                                                      | HYPER 2025-1A A2                                                  | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     580000 | PA      | $571963.58    | 0.41%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BAHN AG                                                                         | DBHNGR 1.375 03/03/34 EMTN                                        | CUSIP: 000000000<br>LEI: 52990063S23N13HU4E98 | Long             | DBT              | CORP              | DE        |      60000 | PA      | $60652.19     | 0.04%             | 2034-03-03      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I LLC                                                       | CYRUS 2023-1A B                                                   | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     104211 | PA      | $102512.39    | 0.07%             | 2048-04-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                        | BRO 5.25 06/23/32                                                 | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      80000 | PA      | $79868.60     | 0.06%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FINANCE PLC                                                           | NWGLN 5.5 10/02/37 EMTN                                           | CUSIP: 000000000<br>LEI: 213800JTFA6F3S7XX781 | Long             | DBT              | CORP              | GB        |     120000 | PA      | $150040.99    | 0.11%             | 2037-10-02      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                        | ES V6.35 08/15/56 B                                               | CUSIP: 30040WBD9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      45000 | PA      | $45002.57     | 0.03%             | 2056-08-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                         | PSD V7 09/15/56 144A                                              | CUSIP: 745310AR3<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |      40000 | PA      | $40262.88     | 0.03%             | 2056-09-15      | Fixed         | 7.00%                 | 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        |    1291918 | NS      | $1291917.81   | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| BUNDESREPUBLIK DEUTSCHLAND - BUNDESMINISTERIUM DER FINANZEN                              | BKO 2.2 03/11/27                                                  | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    1800000 | PA      | $2107077.32   | 1.52%             | 2027-03-11      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| JAPAN, GOVERNMENT OF - MINISTRY OF FINANCE                                               | JGB 2.2 06/20/54 83                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  474450000 | PA      | $2226540.47   | 1.60%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $13080.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC - MINISTRY OF FINANCE GENERAL ACCOUNTING OFFICE PUBLIC DEBT DIVISION   | GGB 4.375 07/18/38                                                | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     177000 | PA      | $215836.72    | 0.16%             | 2038-07-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JAPAN, GOVERNMENT OF - MINISTRY OF FINANCE                                               | JGB 1.4 12/20/42 183                                              | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  192250000 | PA      | $945292.10    | 0.68%             | 2042-12-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM - THE LORD COMMISSIONERS OF HER MAJESTY'S TREASURY DEBT MANAGEMENT OFFICE | UKT 4.5 06/07/28                                                  | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2350000 | PA      | $3201866.51   | 2.30%             | 2028-06-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                                     | SRTGR 4.5 09/14/32                                                | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |     400000 | PA      | $484908.63    | 0.35%             | 2032-09-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II                                                        | FASTR 2022-AA A3                                                  | CUSIP: 345214AE0<br>LEI: 549300OMOD4L2OWKWN21 | Long             | ABS-O            | CORP              | CA        |     810394 | PA      | $603892.20    | 0.43%             | 2028-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                        | ARCC 5.5 09/01/30                                                 | CUSIP: 04010LBK8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     130000 | PA      | $128325.56    | 0.09%             | 2030-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                                                          | DRVPNK 2025-1A A3                                                 | CUSIP: 05330QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     113000 | PA      | $113510.87    | 0.08%             | 2029-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                           | EU 3 03/04/53 UFA                                                 | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | BE        |     548963 | PA      | $527773.41    | 0.38%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                       | SANTAN 5.127 11/06/35                                             | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $391198.09    | 0.28%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SPIRE INC (US)                                                                           | SR V6.25 06/01/56                                                 | CUSIP: 84857LAD3<br>LEI: 549300NXSY15DRY2R511 | Long             | DBT              | CORP              | US        |      82000 | PA      | $81750.29     | 0.06%             | 2056-06-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-80635.06    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF - MINISTERIO DE ECONOMIA Y HACIENDA                                    | SPGB 3.45 10/31/34                                                | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     675000 | PA      | $797948.98    | 0.57%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, HER MAJESTY THE QUEEN IN RIGHT OF - DEBT MANAGEMENT OFFICE OF THE TREASURY  | NZGB 4.25 05/15/34 0534                                           | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     630000 | PA      | $364266.50    | 0.26%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                        | BRO 5.55 06/23/35                                                 | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     120000 | PA      | $119687.88    | 0.09%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FN FS9008                                                         | CUSIP: 3140XRAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492972 | PA      | $502680.89    | 0.36%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                                            | PTHREE 3.75 04/02/33 EMTN                                         | CUSIP: 000000000<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $228343.59    | 0.16%             | 2033-04-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS COMPANY                                                                | KHC 5 06/04/42                                                    | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     158000 | PA      | $139777.39    | 0.10%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                           | BCRED 5.35 03/12/31                                               | CUSIP: 09261HBZ9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     155000 | PA      | $149146.27    | 0.11%             | 2031-03-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA, REPUBLIC OF - MINISTRY OF ECONOMY AND FINANCE                               | KTB 3.25 12/10/35 3512                                            | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  500000000 | PA      | $318912.85    | 0.23%             | 2035-12-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 4.75 02/15/56                                                   | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1100000 | PA      | $1059179.68   | 0.76%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 4.625 02/15/35                                                  | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     875000 | PA      | $893491.21    | 0.64%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| BARCLAYS PLC                                                                             | USD/CAD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-524.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM - THE LORD COMMISSIONERS OF HER MAJESTY'S TREASURY DEBT MANAGEMENT OFFICE | UKT 4.375 07/31/54                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2800000 | PA      | $3100278.37   | 2.23%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                              | ORCL 4.8 09/26/32                                                 | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      40000 | PA      | $38049.62     | 0.03%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNMA-30YR                                                         | CUSIP: 01F052656<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -1200000 | PA      | $-1206156.72  | -0.87%            | 2056-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BELGIUM, KINGDOM OF - MINISTRY OF FINANCE                                                | BGB 3.3 06/22/54 98                                               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     775000 | PA      | $756845.47    | 0.54%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP OF VICTORIA                                                                | TCV 4.75 09/15/36 MTN                                             | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    1686000 | PA      | $1120928.72   | 0.81%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                                                | PCG V7.375 03/15/55                                               | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     229000 | PA      | $235687.26    | 0.17%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA, REPUBLIC OF - MINISTRY OF ECONOMY AND FINANCE                               | KTB 3.125 09/10/52 5209                                           | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1485000000 | PA      | $879300.19    | 0.63%             | 2052-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                                 | QTC 4.5 08/22/35                                                  | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |     296000 | PA      | $195928.92    | 0.14%             | 2035-08-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN, GOVERNMENT OF - MINISTRY OF FINANCE                                               | JGB 1 03/20/62 15                                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    9200000 | PA      | $27675.22     | 0.02%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TIF FUNDING III LLC                                                                      | TIF 2024-1A A                                                     | CUSIP: 88655AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     482625 | PA      | $484318.72    | 0.35%             | 2049-04-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | USD/CAD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12200.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2023-3 LTD                                                                | INVCO 2023-3A AR                                                  | CUSIP: 46091RAL7<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |     575000 | PA      | $576438.65    | 0.41%             | 2038-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP OF VICTORIA                                                                | TCV 2 09/17/35                                                    | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |     206000 | PA      | $108835.59    | 0.08%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUBLIK DEUTSCHLAND - BUNDESMINISTERIUM DER FINANZEN                              | DBR 2.6 08/15/35                                                  | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     350000 | PA      | $397572.24    | 0.29%             | 2035-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SWEDEN, KINGDOM OF - RIKSGAELDSKONTORET                                                  | SGB 2.25 05/11/35 1066                                            | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    3575000 | PA      | $371048.12    | 0.27%             | 2035-05-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                           | AMZN 5.95 03/13/66                                                | CUSIP: 023135DJ2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     437000 | PA      | $431366.22    | 0.31%             | 2066-03-13      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CHINA, PEOPLE'S REPUBLIC OF - MINISTRY OF FINANCE                                        | CGB 1.75 02/25/36 INBK                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    2700000 | PA      | $395116.59    | 0.28%             | 2036-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                           | BCRED 6.25 01/25/31                                               | CUSIP: 09261HBG1<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     180000 | PA      | $179930.40    | 0.13%             | 2031-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ARKEMA SA                                                                                | AKEFP 3.5 09/09/33 EMTN                                           | CUSIP: 000000000<br>LEI: 9695000EHMS84KKP2785 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $227901.88    | 0.16%             | 2033-09-09      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                        | BRO 5.65 06/11/34                                                 | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     120000 | PA      | $121305.74    | 0.09%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I LLC                                                       | CYRUS 2023-2A A2                                                  | CUSIP: 23284BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     394000 | PA      | $394921.01    | 0.28%             | 2048-11-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | AUD/NZD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4413.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS COMPANY                                                                | KHC 4.375 06/01/46                                                | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     100000 | PA      | $78414.49     | 0.06%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RLGH FINANCE BERMUDA LTD                                                                 | RESLIF 8.25 07/17/31                                              | CUSIP: 000000000<br>LEI: 549300JARQYXR76TRX40 | Long             | DBT              | CORP              | BM        |     295000 | PA      | $326638.65    | 0.23%             | 2031-07-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| COLOMBIA, REPUBLIC OF - MINISTERO DE HACIENDA Y CREDITO PUBLICO                          | COLTES 13.25 02/09/33 B                                           | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 7215000000 | PA      | $1916658.09   | 1.38%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                                        | VERUS 2023-4 A1                                                   | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-O            | CORP              | US        |     129950 | PA      | $129664.65    | 0.09%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| POLAND, REPUBLIC OF - STATE TREASURY                                                     | POLGB 5 10/25/35 1035                                             | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     600000 | PA      | $157205.50    | 0.11%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHINA, PEOPLE'S REPUBLIC OF - MINISTRY OF FINANCE                                        | CGB 3.73 05/25/70 INBK                                            | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   11500000 | PA      | $2263591.68   | 1.63%             | 2070-05-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | T 4.625 02/15/46                                                  | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4500000 | PA      | $4297851.54   | 3.09%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF - MINISTERIO DE ECONOMIA Y HACIENDA                                    | SPGB 3.25 04/30/34                                                | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      75000 | PA      | $87701.72     | 0.06%             | 2034-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                           | EU 0.2 06/04/36 SURE                                              | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | BE        |    1475000 | PA      | $1268356.57   | 0.91%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ INTERNATIONAL FINANCE BV                                                   | MBGGR 3.25 09/15/27 EMTN                                          | CUSIP: 000000000<br>LEI: 529900RUGCXMPEENHQ31 | Long             | DBT              | CORP              | NL        |     670000 | PA      | $788899.79    | 0.57%             | 2027-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY & CO. LLC                                                                 | USD/SEK FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1356.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4549.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBERTA (AB), PROVINCE OF - DEPUTY PROVINCIAL TREASURER                                  | ALTA 3.1 06/01/50                                                 | CUSIP: 013051ED5<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | MUN               | CA        |     160000 | PA      | $91264.84     | 0.07%             | 2050-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHILE, REPUBLIC OF - MINISTRY OF FINANCE                                                 | BTPCL 5.8 10/01/34                                                | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  135000000 | PA      | $152695.67    | 0.11%             | 2034-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FR SD6304                                                         | CUSIP: 3132DUAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     385781 | PA      | $393475.13    | 0.28%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM - THE LORD COMMISSIONERS OF HER MAJESTY'S TREASURY DEBT MANAGEMENT OFFICE | UKT 4.25 07/31/34                                                 | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1000000 | PA      | $1302539.59   | 0.94%             | 2034-07-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| REGATTA XXV FUNDING LTD                                                                  | REG25 2023-1A A1R                                                 | CUSIP: 758978AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $601575.60    | 0.43%             | 2038-07-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | SEK/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-284.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | RON/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1830.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | USD/KRW FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-76930.78    | -0.06%            |  |  |  | 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      | $-3524.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | CNH/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $89299.54     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/NOK FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1528.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | SEK/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6595.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | AUD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $47734.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | SEK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-19528.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | SGD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-52.43       | -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      | $19444.06     | 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      | $1076.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | SEK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $18526.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | CAD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $24657.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | CAD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11708.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $684.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | SGD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-404.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                              | SWOP CDS CDX.NA.IG.46.V1                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -13050000 | NC      | $-7844.73     | -0.01%            |  |  |  | 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        |  -13100000 | NC      | $-1063.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-51535.42    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | USD/SEK FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $7407.79      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12216.31    | -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      | $363.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | NZD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4492.69      | 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      | $-2687.18     | -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      | $-8704.45     | -0.01%            |  |  |  | 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      | $13566.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/CLP FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-166.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $298472.21    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                    | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4994.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | USD/NZD FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2989.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | USD/NOK FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-54900.36    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                              | CDS INTESA SANPAOLO SPA                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |          1 | NC      | $-10111.60    | -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      | $17081.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8181.42     | -0.01%            |  |  |  | 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      | $-881.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | USD/NOK FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10408.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | USD/JPY FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10770.50    | -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      | $13155.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                                            | USD/GBP FORWARD                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |          1 | NC      | $965.67       | 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      | $20460.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                    | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1830.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | JPY/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5188.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                   | 10-Year T-Note Futures, Jun-2026,ETH                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -7 | NC      | $16612.93     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | EUR/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12635.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                             | NOK/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2590.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | HKD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-24.23       | -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      | $4262.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | GBP/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16299.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                                                       | AUD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1769.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                  | EUR/CAD FORWARD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1581.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                               | CAD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5740.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                        | EURO(FGBX) Buxl Futures                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         31 | NC      | $-96861.62    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                                                       | CHF/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2106.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                         | NZD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3707.40     | -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      | $845.33       | 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      | $13956.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-488.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                                               | USD/EUR FORWARD                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8494.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                             | CAD/USD FORWARD                                                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $100.95       | 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      | $2673.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                                 | USD/CZK FORWARD                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2048.64      | 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      | $627.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-25

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

**Signature:** James Windels

**Name of Signer:** James Windels

**Title:** Treasurer