NPORT-P false 0001065698 XXXXXXXX S000023378 C000068454 C000068455 MFS VARIABLE INSURANCE TRUST III 811-08879 0001065698 549300QPPZUNGK3D0K61 111 HUNTINGTON AVENUE BOSTON 02199 617-954-5000 MFS Inflation-Adjusted Bond Portfolio S000023378 5493008RHGZT7FZTCC74 2021-12-31 2021-06-30 N 257528199.39 1408081.90 256120117.49 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 212133.21000000 0.00000000 0.00000000 59.98000000 AUD CAD EUR GBP JPY SEK USD N MF1 Multifamily Housing Mortgage Loan Trust N/A 58003UAA6 467000.00000000 PA USD 470793.53000000 0.183817473853 Long ABS-CBDO CORP US Y 2 2035-11-15 Floating 1.82000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -30354.18000000 -0.01185154071 N/A DFE SE N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 2565013.80000000 USD 21689000.00000000 SEK 2021-07-16 -30354.18000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828VM9 4107045.66000000 PA USD 4368950.03000000 1.705820719128 Long DBT UST US N 2 2023-07-15 Fixed 0.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F9ZC8 1882263.00000000 PA USD 130491.08000000 0.050949172317 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.87000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -16990.26000000 -0.00663370771 N/A DFE AU N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 557954.85000000 USD 721281.00000000 AUD 2021-07-16 -16990.26000000 N N N TSY 0 1/8% 2058 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 1229276.48000000 PA 3713426.43000000 1.449876904005 Long DBT NUSS GB N 2 2058-03-22 Fixed 0.13000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -59706.77000000 -0.02331201882 N/A DFE NO N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 3811089.49000000 USD 32297682.67000000 NOK 2021-07-16 -59706.77000000 N N N TSY 0 3/4% 2034 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 998351.20000000 PA 2048096.76000000 0.799662588035 Long DBT NUSS GB N 2 2034-03-22 Fixed 0.75000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 76838.80000000 0.030001079475 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 2496000.00000000 AUD 1948852.09000000 USD 2021-07-16 76838.80000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -13770.05000000 -0.00537640312 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 903344.48000000 USD 750000.00000000 EUR 2021-07-16 -13770.05000000 N N N Wells Fargo Commercial Mortgage Trust N/A 95001YAE4 392680.00000000 PA USD 427233.92000000 0.166809981264 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 3.15000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SM1 3238375.82000000 PA USD 3662864.49000000 1.430135409079 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 2234051.14000000 PA 3931780.39000000 1.535131417450 Long DBT NUSS IT N 2 2041-09-15 Fixed 2.55000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 11100.51000000 0.004334103118 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 452097.55000000 EUR 547333.07000000 USD 2021-07-16 11100.51000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -3975.26000000 -0.00155210767 N/A DFE GB N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1626659.18000000 USD 1173002.64000000 GBP 2021-07-16 -3975.26000000 N N N BENCHMARK Mortgage Trust N/A 08163CBE8 2525876.35000000 PA USD 218038.95000000 0.085131520372 Long ABS-MBS CORP US N 2 2054-03-15 Variable 1.27000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 19141.61000000 0.007473684686 N/A DFE CA N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 2568763.26000000 USD 3208000.00000000 CAD 2021-07-16 19141.61000000 N N N United States Treasury 254900HROIFWPRGM1V77 9128287D6 771530.78000000 PA USD 858267.72000000 0.335103594520 Long DBT UST US N 2 2029-07-15 Fixed 0.25000000 N N N N N N Toledo Hospital/The 5493009DCR7NWV6K4T34 889184AD9 144000.00000000 PA USD 175283.51000000 0.068438009367 Long DBT CORP US N 2 2038-11-15 Fixed 5.75000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 16751.12000000 0.006540337465 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 5189000.00000000 NOK 619454.57000000 USD 2021-07-16 16751.12000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810PS1 864735.25000000 PA USD 1059165.57000000 0.413542512934 Long DBT UST US N 2 2027-01-15 Fixed 2.38000000 N N N N N N TSY 0 1/8% 2056 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 449008.35000000 PA 1315102.94000000 0.513471160675 Long DBT NUSS GB N 2 2056-11-22 Fixed 0.13000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -15439.44000000 -0.00602820276 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1659000.00000000 CAD 1322881.69000000 USD 2021-07-16 -15439.44000000 N N N Barclays Commercial Mortgage Securities LLC N/A 05551VBK8 2097574.00000000 PA USD 210937.70000000 0.082358895531 Long ABS-MBS CORP US N 2 2054-07-15 Variable 1.43000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 17255.41000000 0.006737233361 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 10839000.00000000 SEK 1283942.47000000 USD 2021-07-16 17255.41000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -29281.04000000 -0.01143254199 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1299204.73000000 USD 918000.00000000 GBP 2021-07-16 -29281.04000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -13897.71000000 -0.00542624692 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1289227.05000000 USD 10980000.00000000 NOK 2021-07-16 -13897.71000000 N N N Sales Tax Securitization Corp N/A 79467BDK8 480000.00000000 PA USD 518685.55000000 0.202516520405 Long DBT MUN US N 2 2043-01-01 Fixed 3.41000000 N N N N N N TSY 0 5/8% 2040 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 616044.66000000 PA 1431491.35000000 0.558914061116 Long DBT NUSS GB N 2 2040-03-22 Fixed 0.63000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 4200548.50000000 PA 5674098.53000000 2.215405250320 Long DBT NUSS IT N 2 2028-05-15 Fixed 1.30000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -22274.26000000 -0.00869680219 N/A DFE N/A N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1291400.44000000 USD 1070000.00000000 EUR 2021-07-16 -22274.26000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -17596.36000000 -0.00687035449 N/A DFE CA N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 596809.48000000 USD 718000.00000000 CAD 2021-07-16 -17596.36000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -26790.09000000 -0.01045997099 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 622294.32000000 USD 794000.00000000 AUD 2021-07-16 -26790.09000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FXZ50 4884997.41000000 PA USD 135092.65000000 0.052745817596 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.42000000 N N N N N N SPAIN I/L BOND 9598007A56S18711AH60 000000000 2091440.00000000 PA 2596704.93000000 1.013862150091 Long DBT NUSS ES N 2 2023-11-30 Fixed 0.15000000 N N N N N N TENN VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591EW8 394000.00000000 PA USD 396354.54000000 0.154753380517 Long DBT USGA US N 2 2025-05-15 Fixed 0.75000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABC0 444000.00000000 PA USD 456529.35000000 0.178248141721 Long DBT CORP US Y 2 2022-11-01 Fixed 2.85000000 N N N N N N TSY 0 1/2% 2050 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 1477285.59000000 PA 4129154.93000000 1.612194688361 Long DBT NUSS GB N 2 2050-03-22 Fixed 0.50000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493EAZ5 1347229.60000000 PA USD 168666.41000000 0.065854416924 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.77000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 33598.24000000 0.013118157343 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1062000.00000000 EUR 1293235.63000000 USD 2021-07-16 33598.24000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -8500.01000000 -0.00331875921 N/A DFE N/A N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 410587.65000000 USD 339000.00000000 EUR 2021-07-16 -8500.01000000 N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 3916166.00000000 PA 5016010.60000000 1.958460213573 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.40000000 N N N N N N SWEDEN I/L BOND ERE94C0BSULG2RM19605 000000000 40520238.11000000 PA 6622315.54000000 2.585628807646 Long DBT NUSS SE N 2 2028-12-01 Fixed 3.50000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -19888.34000000 -0.00776523929 N/A DFE N/A N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1040464.18000000 USD 860447.26000000 EUR 2021-07-16 -19888.34000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -687.84000000 -0.00026856148 N/A DFE N/A N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 30293.53000000 USD 24960.55000000 EUR 2021-07-16 -687.84000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -26721.25000000 -0.01043309298 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 654410.23000000 USD 898000.00000000 NZD 2021-07-16 -26721.25000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 11905.73000000 0.004648494665 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 907000.00000000 NZD 645885.58000000 USD 2021-07-16 11905.73000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -30557.40000000 -0.01193088629 N/A DFE CA N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 1152756.50000000 USD 1391092.37000000 CAD 2021-07-16 -30557.40000000 N N N TSY 0 1/8% 2044 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 1819603.25000000 PA 4204693.59000000 1.641688138833 Long DBT NUSS GB N 2 2044-03-22 Fixed 0.13000000 N N N N N N TSY 0 1/4% 2052 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 1610928.20000000 PA 4442399.32000000 1.734498392213 Long DBT NUSS GB N 2 2052-03-22 Fixed 0.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -32760.26000000 -0.01279097492 N/A DFE AU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1271019.05000000 USD 1651000.00000000 AUD 2021-07-16 -32760.26000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 31229.58000000 0.012193333466 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1250000.00000000 EUR 1513853.63000000 USD 2021-07-16 31229.58000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 142087.34000000 0.055476836959 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 4196892.93000000 EUR 5120018.84000000 USD 2021-07-16 142087.34000000 N N N SPAIN I/L BOND 9598007A56S18711AH60 000000000 898539.20000000 PA 1277660.03000000 0.498851883452 Long DBT NUSS ES N 2 2030-11-30 Fixed 1.00000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABE6 225000.00000000 PA USD 230951.26000000 0.090173025947 Long DBT CORP US Y 2 2023-02-10 Fixed 2.38000000 N N N N N N University of California N/A 91412HGG2 410000.00000000 PA USD 406144.98000000 0.158575977545 Long DBT MUN US N 2 2030-05-15 Fixed 1.61000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QP6 2252361.09000000 PA USD 3392736.19000000 1.324666029068 Long DBT UST US N 2 2041-02-15 Fixed 2.13000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -18968.40000000 -0.00740605626 N/A DFE AU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 711285.57000000 USD 923083.00000000 AUD 2021-07-16 -18968.40000000 N N N HOWARD UNIVERSITY N/A 442851AD3 55000.00000000 PA USD 56319.85000000 0.021989623678 Long DBT CORP US N 2 2022-10-01 Fixed 2.74000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810FR4 3786999.48000000 PA USD 4400463.82000000 1.718125020058 Long DBT UST US N 2 2025-01-15 Fixed 2.38000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -46797.12000000 -0.01827155182 N/A DFE N/A N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 2580305.09000000 USD 2136000.00000000 EUR 2021-07-16 -46797.12000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -42518.60000000 -0.01660103876 N/A DFE AU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1279277.38000000 USD 1649000.00000000 AUD 2021-07-16 -42518.60000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1124.21000000 0.000438938577 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 147000.00000000 GBP 204478.00000000 USD 2021-07-16 1124.21000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 38263.78000000 0.014939779184 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2704000.00000000 NZD 1928320.56000000 USD 2021-07-16 38263.78000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 7576.78000000 0.002958291630 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 43151986.00000000 JPY 396044.20000000 USD 2021-07-16 7576.78000000 N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 658546.20000000 PA 1239373.85000000 0.483903358371 Long DBT NUSS FR N 2 2040-07-25 Fixed 1.80000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F9Z38 1425035.00000000 PA USD 116355.11000000 0.045429898728 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 1.03000000 N N N N N N Bank N/A 06541ABM1 3332734.53000000 PA USD 343946.87000000 0.134291235444 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.44000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162RAF4 4297585.77000000 PA USD 408030.41000000 0.159312128230 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.39000000 N N N N N N The Bancorp Commercial Mortgage Trust N/A 05973BAA5 159944.66000000 PA USD 159844.68000000 0.062410044773 Long ABS-MBS CORP US Y 2 2036-09-15 Floating 1.17000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 1861.90000000 0.000726963589 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1684575.38000000 EUR 1999935.47000000 USD 2021-07-16 1861.90000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810FD5 774379.97000000 PA USD 1044051.75000000 0.407641445830 Long DBT UST US N 2 2028-04-15 Fixed 3.63000000 N N N N N N Symphony CLO Ltd 549300X84MR2MGY6OR68 87165UAQ4 764124.00000000 PA USD 761775.08000000 0.297428834355 Long ABS-CBDO CORP KY Y 2 2028-04-15 Floating 1.38000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 15838.19000000 0.006183891431 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 470000.00000000 GBP 666016.98000000 USD 2021-07-16 15838.19000000 N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 1115000.00000000 PA 1312626.57000000 0.512504282312 Long DBT NUSS GR N 2 2031-06-18 Fixed 0.75000000 N N N N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358W4V3 410000.00000000 PA USD 415217.70000000 0.162118346684 Long DBT MUN US N 2 2023-07-01 Fixed 1.09000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1755.81000000 0.000685541618 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 184000.00000000 GBP 256293.89000000 USD 2021-07-16 1755.81000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 11848.07000000 0.004625981791 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 10785000.00000000 SEK 1272224.48000000 USD 2021-07-16 11848.07000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810FS2 2124560.29000000 PA USD 2499428.99000000 0.975881556862 Long DBT UST US N 2 2026-01-15 Fixed 2.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 136968.98000000 0.053478415261 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 34144070.99000000 SEK 4127175.91000000 USD 2021-07-16 136968.98000000 N N N BENCHMARK Mortgage Trust N/A 08163EBE4 2802641.34000000 PA USD 193524.07000000 0.075559886469 Long ABS-MBS CORP US N 2 2054-06-15 Variable 1.00000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -5699.11000000 -0.00222517077 N/A DFE NO N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 666361.52000000 USD 5688000.00000000 NOK 2021-07-16 -5699.11000000 N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 2100384.00000000 PA 3367197.37000000 1.314694606186 Long DBT NUSS IT N 2 2035-09-15 Fixed 2.35000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RA8 2166290.75000000 PA USD 2586178.81000000 1.009752312838 Long DBT UST US N 2 2043-02-15 Fixed 0.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2195.86000000 0.000857355533 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1074000.00000000 EUR 1276066.44000000 USD 2021-07-16 2195.86000000 N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 3745420.00000000 PA 4975347.16000000 1.942583506816 Long DBT NUSS IT N 2 2024-09-15 Fixed 2.35000000 N N N N N N Galaxy CLO Ltd 549300BSLQRD3CFUV847 36321HAA6 240045.91000000 PA USD 239935.25000000 0.093680751184 Long ABS-CBDO CORP KY Y 2 2026-11-15 Floating 0.95000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -16279.64000000 -0.00635625196 N/A DFE GB N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 648474.77000000 USD 457000.00000000 GBP 2021-07-16 -16279.64000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 9062.81000000 0.003538499860 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 257000.00000000 GBP 364586.11000000 USD 2021-07-16 9062.81000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -27009.94000000 -0.01054580962 N/A DFE GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1357801.43000000 USD 962000.00000000 GBP 2021-07-16 -27009.94000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RR1 670606.65000000 PA USD 875971.21000000 0.342015777044 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZZ0 1221668.00000000 PA USD 164808.51000000 0.064348131499 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 1.77000000 N N N N N N HOWARD UNIVERSITY N/A 442851AC5 52000.00000000 PA USD 52275.60000000 0.020410579423 Long DBT CORP US N 2 2021-10-01 Fixed 2.64000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 30184.62000000 0.011785337401 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 4329366.98000000 EUR 5165243.49000000 USD 2021-07-16 30184.62000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FYUL8 5964349.70000000 PA USD 270018.04000000 0.105426329897 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Z37 2543026.50000000 PA USD 2791335.82000000 1.089854185354 Long DBT UST US N 2 2030-01-15 Fixed 0.13000000 N N N N N N TSY 0 1/8% 2036 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 2084382.00000000 PA 4244113.95000000 1.657079495196 Long DBT NUSS GB N 2 2036-11-22 Fixed 0.13000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 2085216.00000000 PA 2009172.71000000 0.784465011842 Long DBT NUSS AU N 2 2030-09-20 Fixed 2.50000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -25012.04000000 -0.00976574594 N/A DFE N/A N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 1048238.05000000 USD 862681.62000000 EUR 2021-07-16 -25012.04000000 N N N TSY 0 1/8% 2065 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 531824.40000000 PA 1890708.21000000 0.738211519082 Long DBT NUSS GB N 2 2065-11-22 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828V49 1335492.32000000 PA USD 1478066.56000000 0.577098970000 Long DBT UST US N 2 2027-01-15 Fixed 0.38000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AZ5 441000.00000000 PA USD 453225.50000000 0.176958180576 Long DBT CORP US Y 2 2022-09-26 Fixed 2.70000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FG6X8 390000.00000000 PA USD 451208.51000000 0.176170663367 Long ABS-MBS USGSE US N 2 2028-05-25 Variable 3.85000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 26226.96000000 0.010240101502 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1751702.04000000 AUD 1340012.82000000 USD 2021-07-16 26226.96000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810QV3 6300495.66000000 PA USD 7670525.34000000 2.994893730009 Long DBT UST US N 2 2042-02-15 Fixed 0.75000000 N N N N N N HOWARD UNIVERSITY N/A 442851AE1 60000.00000000 PA USD 61383.69000000 0.023966758488 Long DBT CORP US N 2 2023-10-01 Fixed 2.80000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -31030.60000000 -0.01211564335 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 3689470.47000000 CAD 2945278.19000000 USD 2021-07-16 -31030.60000000 N N N United States Treasury 254900HROIFWPRGM1V77 9128282L3 1363558.28000000 PA USD 1520580.54000000 0.593698204928 Long DBT UST US N 2 2027-07-15 Fixed 0.38000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 7518.58000000 0.002935567917 N/A DFE NO N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1263745.50000000 USD 10945000.00000000 NOK 2021-07-16 7518.58000000 N N N TSY 2% 2035 I/L STOCK ECTRVYYCEF89VWYS6K36 000000000 1359297.24000000 PA 3255684.37000000 1.271155269607 Long DBT NUSS GB N 2 2035-01-26 Fixed 2.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -36998.67000000 -0.01444582735 N/A DFE NZ N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1000837.40000000 USD 1378910.92000000 NZD 2021-07-16 -36998.67000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 1320.13000000 0.000515433935 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 5450000.00000000 SEK 638228.01000000 USD 2021-07-16 1320.13000000 N N N Natwest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC -12790.62000000 -0.00499399271 N/A DFE GB N 2 Natwest Markets PLC RR3QWICWWIPCS8A4S074 1216313.07000000 USD 870000.00000000 GBP 2021-07-16 -12790.62000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 6829.28000000 0.002666436384 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1073000.00000000 EUR 1279513.76000000 USD 2021-07-16 6829.28000000 N N N TSY 0 1/8% 2046 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 940240.00000000 PA 2249927.68000000 0.878465815980 Long DBT NUSS GB N 2 2046-03-22 Fixed 0.13000000 N N N N N N SPAIN I/L BOND 9598007A56S18711AH60 000000000 5594602.00000000 PA 7884669.38000000 3.078504514706 Long DBT NUSS ES Y 2 2033-11-30 Fixed 0.70000000 N N N N N N TSY 0 1/8% 2048 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 246539.25000000 PA 621002.44000000 0.242465311232 Long DBT NUSS GB N 2 2048-08-10 Fixed 0.13000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 822133800.00000000 PA 7551982.92000000 2.948609814024 Long DBT NUSS JP N 2 2026-03-10 Fixed 0.10000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -45112.95000000 -0.01761398145 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1305255.63000000 USD 10783000.00000000 SEK 2021-07-16 -45112.95000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828WU0 7740116.58000000 PA USD 8322842.56000000 3.249585640348 Long DBT UST US N 2 2024-07-15 Fixed 0.13000000 N N N N N N TSY 1 1/4% 2055 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 742568.40000000 PA 2718898.48000000 1.061571619849 Long DBT NUSS GB N 2 2055-11-22 Fixed 1.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 18666.38000000 0.007288135029 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 489000.00000000 EUR 598668.91000000 USD 2021-07-16 18666.38000000 N N N TSY 0 1/8% 2068 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 1061148.00000000 PA 4071446.03000000 1.589662721499 Long DBT NUSS GB N 2 2068-03-22 Fixed 0.13000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 1945152.00000000 PA 2517847.07000000 0.983072745192 Long DBT NUSS IT N 2 2023-09-15 Fixed 2.60000000 N N N N N N MFS Institutional Money Market Portfolio 5L2W638H85N8T1136O07 55291X109 4946144.44600000 NS USD 4946144.45000000 1.931181548123 Long STIV RF US N 1 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H13T1 709327.00000000 PA USD 78085.70000000 0.030487921357 Long ABS-MBS USGSE US N 2 2031-05-25 Variable 1.22000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -27115.15000000 -0.01058688800 N/A DFE NZ N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 656901.08000000 USD 901000.00000000 NZD 2021-07-16 -27115.15000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 17778.41000000 0.006941434423 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 618000.00000000 EUR 750787.74000000 USD 2021-07-16 17778.41000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -4386.44000000 -0.00171264953 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 541770.12000000 USD 3369185.44000000 DKK 2021-07-16 -4386.44000000 N N N TSY 1 1/8% 2037 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 1057048.00000000 PA 2497725.51000000 0.975216447063 Long DBT NUSS GB N 2 2037-11-22 Fixed 1.13000000 N N N N N N SPAIN I/L BOND 9598007A56S18711AH60 000000000 3236995.50000000 PA 4348281.50000000 1.697750861046 Long DBT NUSS ES N 2 2027-11-30 Fixed 0.65000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 22663.53000000 0.008848789475 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 7200000.00000000 SEK 864083.11000000 USD 2021-07-16 22663.53000000 N N N HOWARD UNIVERSITY N/A 442851AG6 82000.00000000 PA USD 84432.95000000 0.032966153079 Long DBT CORP US N 2 2025-10-01 Fixed 2.52000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -14035.56000000 -0.00548006932 N/A DFE N/A N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 709595.41000000 USD 586426.35000000 EUR 2021-07-16 -14035.56000000 N N N CANADIAN GOVERNMENT RRB 4BFD7AQU0A75QLAHK410 135087WV2 609518.07000000 PA 721322.06000000 0.281634284361 Long DBT NUSS CA N 2 2031-12-01 Fixed 4.00000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 773.54000000 0.000302022350 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 5000000.00000000 JPY 45785.07000000 USD 2021-07-16 773.54000000 N N N Madison Park Funding Ltd N/A 55818MBC0 901666.00000000 PA USD 906049.90000000 0.353759754945 Long ABS-CBDO CORP KY Y 2 2030-04-19 Floating 1.69000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 13096.93000000 0.005113588939 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 18358116.12000000 SEK 2158496.70000000 USD 2021-07-16 13096.93000000 N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 347728.50000000 PA 319949.82000000 0.124921784018 Long DBT NUSS AU N 2 2040-08-21 Fixed 1.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -34591.76000000 -0.01350606908 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1086366.24000000 USD 9000000.00000000 SEK 2021-07-16 -34591.76000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FGR31 555000.00000000 PA USD 642911.39000000 0.251019481132 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 3.85000000 N N N N N N Central Texas Turnpike System N/A 88283KBK3 380000.00000000 PA USD 386448.87000000 0.150885792880 Long DBT MUN US N 2 2042-08-15 Floating 1.98000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 30440.90000000 0.011885399826 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1571000.00000000 CAD 1297772.12000000 USD 2021-07-16 30440.90000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 2703.21000000 0.001055446181 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1100000.00000000 GBP 1524398.26000000 USD 2021-07-16 2703.21000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 43628.99000000 0.017034581440 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10878000.00000000 NOK 1307111.01000000 USD 2021-07-16 43628.99000000 N N N Morgan Stanley Capital I Trust N/A 61691YAP6 1659171.94000000 PA USD 162607.48000000 0.063488757382 Long ABS-MBS CORP US N 2 2054-05-15 Variable 1.43000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 66885.02000000 0.026114707683 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2474000.00000000 AUD 1922398.20000000 USD 2021-07-16 66885.02000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -34058.18000000 -0.01329773714 N/A DFE NO N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1275820.11000000 USD 10691000.00000000 NOK 2021-07-16 -34058.18000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 15573.48000000 0.006080537582 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1073000.00000000 EUR 1288257.96000000 USD 2021-07-16 15573.48000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810PV4 1910835.26000000 PA USD 2309174.74000000 0.901598344804 Long DBT UST US N 2 2028-01-15 Fixed 1.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RF7 1145.86000000 PA USD 1580.41000000 0.000617058127 Long DBT UST US N 2 2044-02-15 Fixed 1.38000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -24493.08000000 -0.00956312227 N/A DFE NZ N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 1003377.67000000 USD 1400436.20000000 NZD 2021-07-16 -24493.08000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTG43 564669.00000000 PA USD 81368.97000000 0.031769847209 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.92000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -4110.60000000 -0.00160495006 N/A DFE CA N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1926485.07000000 USD 2383000.00000000 CAD 2021-07-16 -4110.60000000 N N N TOLEDO HOSPITAL/THE 5493009DCR7NWV6K4T34 889184AF4 487000.00000000 PA USD 582100.19000000 0.227276246670 Long DBT CORP US N 2 2028-11-15 Fixed 5.33000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 84440.72000000 0.032969186812 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12623359.94000000 USD 9186190.57000000 GBP 2021-07-16 84440.72000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -18994.60000000 -0.00741628583 N/A DFE N/A N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 779284.21000000 USD 641000.00000000 EUR 2021-07-16 -18994.60000000 N N N TSY 0 3/4% 2047 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 2054993.96000000 PA 5744900.17000000 2.243049170170 Long DBT NUSS GB N 2 2047-11-22 Fixed 0.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828B25 5205322.44000000 PA USD 5605888.24000000 2.188773101831 Long DBT UST US N 2 2024-01-15 Fixed 0.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SB5 2015388.56000000 PA USD 2686397.49000000 1.048881874773 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 807910.50000000 PA 712988.15000000 0.278380377530 Long DBT NUSS AU N 2 2025-09-20 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F62R7 646322.00000000 PA USD 63980.51000000 0.024980665567 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 1.26000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 21479.57000000 0.008386522000 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 662000.21000000 EUR 806677.51000000 USD 2021-07-16 21479.57000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -4713.98000000 -0.00184053484 N/A DFE NZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 611159.56000000 USD 867608.25000000 NZD 2021-07-16 -4713.98000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 6160.11000000 0.002405164444 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 143300000.00000000 JPY 1296190.70000000 USD 2021-07-16 6160.11000000 N N N BENCHMARK Mortgage Trust N/A 08162FAE3 710554.00000000 PA USD 772591.12000000 0.301651868494 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 3.12000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -21354.36000000 -0.00833763478 N/A DFE SE N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 650315.50000000 USD 5382000.00000000 SEK 2021-07-16 -21354.36000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810FH6 1569247.68000000 PA USD 2206529.79000000 0.861521465640 Long DBT UST US N 2 2029-04-15 Fixed 3.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828UH1 19705513.04000000 PA USD 20588027.59000000 8.038426575688 Long DBT UST US N 2 2023-01-15 Fixed 0.13000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 2316.92000000 0.000904622418 N/A DFE GB N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 988254.28000000 USD 716062.21000000 GBP 2021-07-16 2316.92000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 20902.51000000 0.008161213654 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2636288.92000000 EUR 3147802.79000000 USD 2021-07-16 20902.51000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -40800.42000000 -0.01593018947 N/A DFE SE N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 2572655.31000000 USD 21665000.00000000 SEK 2021-07-16 -40800.42000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -1394.00000000 -0.00054427587 N/A DFE GB N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 639122.56000000 USD 461000.00000000 GBP 2021-07-16 -1394.00000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 53133.60000000 0.020745578488 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 12313291.33000000 SEK 1492111.99000000 USD 2021-07-16 53133.60000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SG4 1040044.60000000 PA USD 1399523.56000000 0.546432499608 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N TSY 0 5/8% 2042 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 1899021.20000000 PA 4674975.77000000 1.825305960271 Long DBT NUSS GB N 2 2042-11-22 Fixed 0.63000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -14027.66000000 -0.00547698483 N/A DFE NZ N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 645211.56000000 USD 903000.00000000 NZD 2021-07-16 -14027.66000000 N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505XE1 550000.00000000 PA USD 735480.63000000 0.287162381935 Long DBT MUN US N 2 2039-12-01 Fixed 6.14000000 N N N N N N State Board of Administration Finance Corp 549300S34SOJ0RULXM35 341271AE4 458000.00000000 PA USD 465413.46000000 0.181716869631 Long DBT MUN US N 2 2027-07-01 Fixed 1.71000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 8650.16000000 0.003377384051 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1299016.23000000 USD 1621000.00000000 CAD 2021-07-16 8650.16000000 N N N CANADIAN GOVERNMENT RRB 4BFD7AQU0A75QLAHK410 135087XQ2 2517438.00000000 PA 3016417.12000000 1.177735333546 Long DBT NUSS CA N 2 2036-12-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QF8 521406.32000000 PA USD 776936.15000000 0.303348349834 Long DBT UST US N 2 2040-02-15 Fixed 2.13000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 11354.42000000 0.004433240196 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 148141000.00000000 JPY 1344965.17000000 USD 2021-07-16 11354.42000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828H45 11237792.50000000 PA USD 12162276.47000000 4.748661131812 Long DBT UST US N 2 2025-01-15 Fixed 0.25000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -24370.10000000 -0.00951510573 N/A DFE GB N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 923553.54000000 USD 650000.00000000 GBP 2021-07-16 -24370.10000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -27428.56000000 -0.01070925637 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 649525.65000000 USD 890000.00000000 NZD 2021-07-16 -27428.56000000 N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 43128.04000000 0.016838989620 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 10732000.00000000 NOK 1289652.12000000 USD 2021-07-16 43128.04000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2128.16000000 0.000830922623 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 294000.00000000 GBP 408835.75000000 USD 2021-07-16 2128.16000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828ZZ6 1260323.90000000 PA USD 1390229.16000000 0.542803577330 Long DBT UST US N 2 2030-07-15 Fixed 0.13000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55282XAE0 940500.00000000 PA USD 939617.72000000 0.366866035049 Long ABS-MBS CORP KY Y 2 2036-07-15 Floating 1.57000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 37176.97000000 0.014515443130 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 1064000.00000000 EUR 1299186.56000000 USD 2021-07-16 37176.97000000 N N N BENCHMARK Mortgage Trust N/A 08163HAG3 3307489.00000000 PA USD 333502.72000000 0.130213402706 Long ABS-MBS CORP US N 2 2054-07-15 Variable 1.27000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 5307569.00000000 PA 7697519.46000000 3.005433362844 Long DBT NUSS IT N 2 2026-09-15 Fixed 3.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828XL9 7531557.44000000 PA USD 8269120.53000000 3.228610314190 Long DBT UST US N 2 2025-07-15 Fixed 0.38000000 N N N N N N HOWARD UNIVERSITY N/A 442851AF8 66000.00000000 PA USD 67746.84000000 0.026451198236 Long DBT CORP US N 2 2024-10-01 Fixed 2.42000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 1410295.79000000 PA 2115406.89000000 0.825943276432 Long DBT NUSS FR N 2 2047-07-25 Fixed 0.10000000 N N N N N N TSY 0 3/8% 2062 I/L GILT ECTRVYYCEF89VWYS6K36 000000000 1115896.98000000 PA 3882183.35000000 1.515766659817 Long DBT NUSS GB N 2 2062-03-22 Fixed 0.38000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -106482.60000000 -0.04157525814 N/A DFE N/A N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 4182500.46000000 USD 3436489.74000000 EUR 2021-07-16 -106482.60000000 N N N CONSERVATION FUND N/A 20848FAA8 312000.00000000 PA USD 333873.37000000 0.130358119960 Long DBT CORP US N 2 2029-12-15 Fixed 3.47000000 N N N N N N 2021-07-15 MFS VARIABLE INSURANCE TRUST III Kasey Phillips Kasey Phillips Assistant Treasurer