# EDGAR Filing Document

**Accession Number:** 0000035348
**File Stem:** 0001752724-23-034859
**Filing Date:** 2023-2
**Character Count:** 106509
**Document Hash:** 1b3a289906c1fad7268be060fdbccb5e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034859.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034859

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY HASTINGS STREET TRUST
- **CENTRAL INDEX KEY:** 0000035348
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00215
- **FILM NUMBER:** 23656927

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FUND
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FUND INC
- **DATE OF NAME CHANGE:** 19851205

## Series and Classes Contracts Data

### Fidelity Series Emerging Markets Debt Local Currency Fund (Series ID: S000069413)

| Class ID   | Class Name                                                | Ticker Symbol   |
|:---|:---|:---|
| C000221495 | Fidelity Series Emerging Markets Debt Local Currency Fund | FSEDX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Hastings Street Trust

- **b. Investment Company Act file number:** 811-00215

- **c. CIK number of Registrant:** 0000035348

- **d. LEI of Registrant:** 5IETULY5BBOQWX17XY97

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Series Emerging Markets Debt Local Currency Fund

- **b. EDGAR series identifier (if any):** S000069413

- **c. LEI of Series:** 54930092TT4TRKVUCK15

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $389621715.62

**Total Liabilities:** $23596.74

**Net Assets:** $389598118.88

**Cash Not Reported:** $4216346.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 392.01679227 | **1-Year:** 7603.66030935 | **5-Year:** 24241.85265635 | **10-Year:** 29496.59008765 | **30-Year:** 5293.84173076

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

- **3-Month:** 572.54641872 | **1-Year:** 8259.82984252 | **5-Year:** 25712.98999269 | **10-Year:** 48193.13800586 | **30-Year:** 13025.47678825

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000221495 | -0.38%               | 7.30%                | 2.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1693586.02             | $-1490150.48                               |
| Month 2  | $-1982592.52             | $10991208.56                               |
| Month 3  | $-2273712.37             | $1778447.59                                |

**Designated Index Information**

- **Index Name:** J.P. Morgan GBI-EM Global Diversified Index

- **Index Identifier:** 19808102

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PHILIPPINES REPUBLIC OF                 | PHILIPPINES REPUBLIC OF 6.25% 01/14/2036                    | CUSIP: 718286BM8<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     30000000 | PA      | $488577.59    | 0.13%             | 2036-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $31898.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 8.5% 05/31/2029                | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    171500000 | PA      | $8546550.88   | 2.19%             | 2029-05-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CHINA PEOPLES REPUBLIC OF               | CHINA PEOPLES REPUBLIC OF 2.68% 05/21/2030                  | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |     92250000 | PA      | $13223507.82  | 3.39%             | 2030-05-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: PEN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $46447.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-238880.47   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 3.65% 09/24/2031                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     15550000 | PA      | $2518575.86   | 0.65%             | 2031-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $17213.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/CNY settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-41344.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $14713.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 6% 04/28/2028                          | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |   1850000000 | PA      | $283815.49    | 0.07%             | 2028-04-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $5160.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $331.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 3.828% 07/05/2034                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     14300000 | PA      | $3133793.87   | 0.80%             | 2034-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $27041.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $69959.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 5.75% 03/05/2026               | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    275000000 | PA      | $12754022.02  | 3.27%             | 2026-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 4.75% 02/24/2025                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      5550000 | PA      | $1149716.71   | 0.30%             | 2025-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 8.875% 02/28/2035                  | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    218750000 | PA      | $10851472.82  | 2.79%             | 2035-02-28      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $12096.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-45363.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $34551.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                      | DOMINICAN REPUBLIC 9.75% 06/05/2026 REGS                    | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |     26500000 | PA      | $447560.52    | 0.11%             | 2026-06-05      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.375% 09/15/2026                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        | 120750000000 | PA      | $8241328.09   | 2.12%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                    | FX Forward: SGD/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $221778.83    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 1.25% 10/25/2030                         | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     11300000 | PA      | $1732700.20   | 0.44%             | 2030-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $36156.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-42171.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $17143.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-31534.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $60431.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE      | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $5773.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-7862.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL       | BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2024             | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |      1270000 | PA      | $200596.66    | 0.05%             | 2024-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF               | EGYPT (ARAB) REPUBLIC OF 16.1% 05/07/2029                   | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     12000000 | PA      | $423671.16    | 0.11%             | 2029-05-07      | Fixed         | 0.16%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 5.75% 11/03/2027                       | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  31100000000 | PA      | $4835302.65   | 1.24%             | 2027-11-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 7.5% 08/26/2026                        | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  13650000000 | PA      | $2398534.19   | 0.62%             | 2026-08-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $91762.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL       | BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2023             | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     60500000 | PA      | $10751109.26  | 2.76%             | 2023-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $40957.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-40694.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $7166.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $138250.87    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-5068.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 2.25% 06/22/2034                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |    470000000 | PA      | $696088.53    | 0.18%             | 2034-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 4% 10/25/2023                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      9750000 | PA      | $2066196.14   | 0.53%             | 2023-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-6823.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: BRL/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $15297.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-26149.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-54249.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $106365.99    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: EGP/USD settle 2023-01-17                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-193342.56   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 3% 06/26/2024                           | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |    365000000 | PA      | $862875.57    | 0.22%             | 2024-06-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 10.5% 12/21/2026                   | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |     57500000 | PA      | $3577074.11   | 0.92%             | 2026-12-21      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-68031.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.25% 05/15/2036                      | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  44750000000 | PA      | $3120354.91   | 0.80%             | 2036-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $30536.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4904.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-8741.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $7080.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: INR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3501.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $506.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $95645.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-47542.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/MYR settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-89116.52    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3939.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $13879.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-143.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $670285.66    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 2.5% 07/25/2026                          | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     43600000 | PA      | $8597101.81   | 2.21%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $76952.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-108851.57   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-46233.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE      | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $105591.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-70799.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $45115.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $212885.28    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-51846.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-34667.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                | NOTA DO TESOURO NACIONAL 10% 01/01/2029                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     12250000 | PA      | $2074282.37   | 0.53%             | 2029-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1308.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 3.25% 10/22/2031                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |    447000000 | PA      | $784519.62    | 0.20%             | 2031-10-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-103609.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-34551.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 2.875% 06/17/2046                       | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |     44400000 | PA      | $1129676.79   | 0.29%             | 2046-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 3.582% 07/15/2032                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     15000000 | PA      | $3279909.19   | 0.84%             | 2032-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $80717.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/PHP settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4642.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-57470.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $7329.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-63032.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-48401.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                       | CHILE REPUBLIC OF 4.5% 03/01/2026                           | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   3050000000 | PA      | $3435694.39   | 0.88%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-61599.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INTER AMERICAN DEV BANK                 | INTER AMERICAN DEV BANK 5.7% 11/12/2024                     | CUSIP: N/A<br>LEI: VKU1UKDS9E7LYLMACP54       | Long             | DBT              | CORP              | US        |    105000000 | PA      | $1229599.20   | 0.32%             | 2024-11-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-39321.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2059.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 2% 12/17/2031                           | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    142000000 | PA      | $3970709.41   | 1.02%             | 2031-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-240069.29   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/PHP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-108576.36   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $72152.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 8% 01/31/2030                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    208500000 | PA      | $10939354.61  | 2.81%             | 2030-01-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.25% 05/15/2029                      | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        | 102000000000 | PA      | $7023863.82   | 1.80%             | 2029-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: USD/MXN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-30474.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $49092.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-522.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 4.065% 06/15/2050                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     14500000 | PA      | $2996282.63   | 0.77%             | 2050-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                          | CZECH REPUBLIC 2% 10/13/2033                                | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |    142000000 | PA      | $4712587.34   | 1.21%             | 2033-10-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $10235.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-8521.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5392.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-6862.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $8667.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                      | DOMINICAN REPUBLIC 8.9% 02/15/2023 REGS                     | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |    116250000 | PA      | $2047615.73   | 0.53%             | 2023-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                          | CZECH REPUBLIC 0.95% 05/15/2030 REGS                        | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |    213750000 | PA      | $7101007.13   | 1.82%             | 2030-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $24572.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1140.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 9.25% 05/28/2042                       | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |   9500000000 | PA      | $1411400.58   | 0.36%             | 2042-05-28      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: INR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5962.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $19061.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 7.75% 11/13/2042               | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    168750000 | PA      | $7565194.17   | 1.94%             | 2042-11-13      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $21276.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $18858.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 8% 07/31/2053                  | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     22000000 | PA      | $1002150.72   | 0.26%             | 2053-07-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $93001.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-73291.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                      | TURKEY REPUBLIC OF 12.4% 03/08/2028                         | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |      7750000 | PA      | $489600.18    | 0.13%             | 2028-03-08      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $15353.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $23288.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-59870.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                       | PERU REPUBLIC OF 5.4% 08/12/2034                            | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      8850000 | PA      | $1864734.10   | 0.48%             | 2034-08-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $36316.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                | NOTA DO TESOURO NACIONAL 10% 01/01/2033                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |      7050000 | PA      | $1145846.16   | 0.29%             | 2033-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1835.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/MXN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-104980.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 3.3% 06/17/2038                         | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    179750000 | PA      | $5211677.72   | 1.34%             | 2038-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $6505.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-34767.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY          | URUGUAY REPUBLICA ORIENTAL DL 8.25% 05/21/2031              | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     31500000 | PA      | $681737.77    | 0.17%             | 2031-05-21      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-88787.59    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA PEOPLES REPUBLIC OF               | CHINA PEOPLES REPUBLIC OF 2.88% 11/05/2023                  | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |     57000000 | PA      | $8309088.95   | 2.13%             | 2023-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/SGD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-49118.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-8742.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $18647.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                    | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $17155.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 6.375% 04/15/2032                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  51000000000 | PA      | $3145013.65   | 0.81%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $23354.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-99788.44    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/PHP settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-854.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 1.6% 06/17/2035                         | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    180750000 | PA      | $4477674.62   | 1.15%             | 2035-06-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL       | BRAZIL LETRAS DO TESOURO NACIONAL 0% 01/01/2026             | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |      1500000 | PA      | $198264.93    | 0.05%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $23187.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA PEOPLES REPUBLIC OF               | CHINA PEOPLES REPUBLIC OF 3.81% 09/14/2050                  | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |     19000000 | PA      | $3011777.90   | 0.77%             | 2050-09-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 3% 10/27/2038                           | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |    500000000 | PA      | $708383.43    | 0.18%             | 2038-10-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: PEN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $13494.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 7.5% 04/15/2040                       | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  61750000000 | PA      | $4059812.11   | 1.04%             | 2040-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $16752.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                       | PERU REPUBLIC OF 6.95% 08/12/2031                           | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     11500000 | PA      | $2853723.45   | 0.73%             | 2031-08-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.375% 03/15/2034                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  19788000000 | PA      | $1389322.88   | 0.36%             | 2034-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/SGD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-166287.58   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/INR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3692.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KAZAKHSTAN REPUBLIC OF                  | KAZAKHSTAN REPUBLIC OF 10.5% 08/04/2026                     | CUSIP: N/A<br>LEI: 5493007OEK8EF02UO833       | Long             | DBT              | NUSS              | KZ        |    440000000 | PA      | $853549.34    | 0.22%             | 2026-08-04      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $11378.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZILIAN GOVERNMENT INTERNATIONAL BOND | BRAZILIAN GOVERNMENT INTERNATIONAL BOND 10% 01/01/2025      | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     28750000 | PA      | $5207780.91   | 1.34%             | 2025-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2516.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-16720.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-31274.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-43766.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-22995.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                | NOTA DO TESOURO NACIONAL 10% 01/01/2027                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     38000000 | PA      | $6644914.74   | 1.71%             | 2027-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 2% 06/17/2042                           | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |     45000000 | PA      | $1040250.79   | 0.27%             | 2042-06-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-50693.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 3.757% 05/22/2040                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     10000000 | PA      | $2089920.54   | 0.54%             | 2040-05-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1855.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 2.75% 10/25/2029                         | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |      7000000 | PA      | $1255793.31   | 0.32%             | 2029-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 5.5% 06/24/2025                         | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |    675000000 | PA      | $1580838.88   | 0.41%             | 2025-06-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5333.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-42655.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-26268.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/INR settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3874.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-120166.08   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 3.885% 08/15/2029                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     10350000 | PA      | $2326647.11   | 0.60%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $28769.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 4.696% 10/15/2042                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |      9000000 | PA      | $2119729.85   | 0.54%             | 2042-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust            | Fidelity Cash Central Fund                                  | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |     52382029 | NS      | $52392505.31  | 13.45%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-18473.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-25502.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                       | PERU REPUBLIC OF 5.35% 08/12/2040                           | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      2250000 | PA      | $441357.94    | 0.11%             | 2040-08-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: USD/TRY settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-6320.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-27494.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $88471.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-12274.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-70290.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL       | BRAZIL LETRAS DO TESOURO NACIONAL 0% 01/01/2024             | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     57500000 | PA      | $9613736.45   | 2.47%             | 2024-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $464966.85    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $35969.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/MXN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-22367.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $372481.75    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 2.75% 12/22/2026                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |   1144000000 | PA      | $2289257.49   | 0.59%             | 2026-12-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $102590.59    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                      | TURKEY REPUBLIC OF 11% 02/24/2027                           | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     16250000 | PA      | $972276.06    | 0.25%             | 2027-02-24      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: INR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $4245.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 6.5% 02/28/2041                    | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |     86000000 | PA      | $3165426.10   | 0.81%             | 2041-02-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF               | EGYPT (ARAB) REPUBLIC OF 14.556% 10/13/2027                 | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     36000000 | PA      | $1234913.87   | 0.32%             | 2027-10-13      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-68132.14    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $92851.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-30770.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $44894.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $15315.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/PHP settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3868.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-21686.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-3178.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                       | CHILE REPUBLIC OF 4.7% 09/01/2030 144A REGS                 | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   1000000000 | PA      | $1135224.17   | 0.29%             | 2030-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                      | TURKEY REPUBLIC OF 8% 03/12/2025                            | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     38250000 | PA      | $1992033.04   | 0.51%             | 2025-03-12      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $31931.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: INR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $561.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 4.762% 04/07/2037                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     11250000 | PA      | $2690754.82   | 0.69%             | 2037-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $6882.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 1.75% 04/25/2032                         | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     22250000 | PA      | $3334795.78   | 0.86%             | 2032-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $48769.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 4.25% 06/28/2023                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     20250000 | PA      | $4332148.04   | 1.11%             | 2023-06-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 2.5% 07/25/2027                          | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     15000000 | PA      | $2852442.74   | 0.73%             | 2027-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                       | CHILE REPUBLIC OF 5% 03/01/2035                             | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   1825000000 | PA      | $2126988.50   | 0.55%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $43787.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: BRL/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3537.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-60307.35    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                | NOTA DO TESOURO NACIONAL 10% 01/01/2031                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     18000000 | PA      | $2974252.87   | 0.76%             | 2031-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 7% 06/30/2032                          | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  22800000000 | PA      | $3182594.06   | 0.82%             | 2032-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4854.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-3980.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 5% 02/12/2029                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     16450000 | PA      | $3083052.07   | 0.79%             | 2029-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3925.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 7.25% 10/26/2050                       | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |   8500000000 | PA      | $991162.59    | 0.25%             | 2050-10-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: BRL/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2939.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.125% 05/15/2024                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  85000000000 | PA      | $5618435.84   | 1.44%             | 2024-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-25188.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-57179.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $35387.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                          | CZECH REPUBLIC 1.5% 04/24/2040                              | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |     13750000 | PA      | $361919.44    | 0.09%             | 2040-04-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-190787.53   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/INR settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $8582.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 7.75% 11/23/2034               | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     44500000 | PA      | $2062759.35   | 0.53%             | 2034-11-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: BRL/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $74813.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 7.125% 06/15/2042                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  14000000000 | PA      | $898185.32    | 0.23%             | 2042-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $2972.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |            1 | NC      | $458330.86    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-75057.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INTER AMERICAN DEV BANK                 | INTER AMERICAN DEV BANK 5.1% 11/17/2026                     | CUSIP: N/A<br>LEI: VKU1UKDS9E7LYLMACP54       | Long             | DBT              | CORP              | US        |  15000000000 | PA      | $926169.91    | 0.24%             | 2026-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                          | CZECH REPUBLIC 1.2% 03/13/2031                              | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |     45000000 | PA      | $1484903.03   | 0.38%             | 2031-03-13      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |            1 | NC      | $47755.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $1609.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 6.5% 06/15/2025                       | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  34750000000 | PA      | $2241143.41   | 0.58%             | 2025-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: PEN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $5694.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                       | CHILE REPUBLIC OF 6% 01/01/2043                             | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   1275000000 | PA      | $1658133.40   | 0.43%             | 2043-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.375% 04/15/2039                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  42750000000 | PA      | $3024835.39   | 0.78%             | 2039-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 6.75% 10/22/2028                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |   1118000000 | PA      | $2592353.65   | 0.67%             | 2028-10-22      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                      | TURKEY REPUBLIC OF 11.7% 11/13/2030                         | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     12500000 | PA      | $841476.29    | 0.22%             | 2030-11-13      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 4.75% 10/11/2034                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      2500000 | PA      | $394929.38    | 0.10%             | 2034-10-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/INR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $28084.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1972425.91   | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $52755.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $12596.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 5.8% 07/26/2027                         | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      2750000 | PA      | $552394.78    | 0.14%             | 2027-07-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 7% 02/28/2031                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |     77250000 | PA      | $3670652.67   | 0.94%             | 2031-02-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/MXN settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-9377.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA PEOPLES REPUBLIC OF               | CHINA PEOPLES REPUBLIC OF 3.28% 12/03/2027                  | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |     88750000 | PA      | $13239261.25  | 3.40%             | 2027-12-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 1.6% 12/17/2029                         | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |     58000000 | PA      | $1607637.89   | 0.41%             | 2029-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3822.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $84093.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY          | URUGUAY REPUBLICA ORIENTAL DL 8.5% 03/15/2028 REGS          | CUSIP: N/A<br>LEI: 549300RDR012H2V82H43       | Long             | DBT              | NUSS              | UY        |      5500000 | PA      | $125691.97    | 0.03%             | 2028-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ASIAN INFRASTRUCTURE INVESTMENT BANK    | ASIAN INFRASTRUCTURE INVESTMENT BANK 2.375% 02/10/2025 REGS | CUSIP: N/A<br>LEI: 25490065OSV2524LCR32       | Long             | DBT              | CORP              | CN        |     57900000 | PA      | $955734.75    | 0.25%             | 2025-02-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 8% 12/07/2023                  | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    123750000 | PA      | $6192786.83   | 1.59%             | 2023-12-07      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $19634.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 8.75% 02/28/2048                   | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    106000000 | PA      | $4876646.31   | 1.25%             | 2048-02-28      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $127984.41    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                       | PERU REPUBLIC OF 6.35% 08/12/2028                           | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      9900000 | PA      | $2476943.89   | 0.64%             | 2028-08-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 1.585% 12/17/2035                       | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |      5750000 | PA      | $141871.10    | 0.04%             | 2035-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** Stacie M. Smith

**Signature:** Stacie M. Smith

**Name of Signer:** Stacie M. Smith

**Title:** President and Treasurer