# EDGAR Filing Document

**Accession Number:** 0000215829
**File Stem:** 0001752724-23-034885
**Filing Date:** 2023-2
**Character Count:** 231832
**Document Hash:** 8a0e41d6b05b7cec858c8232166e9c73
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034885.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034885

**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 SCHOOL STREET TRUST
- **CENTRAL INDEX KEY:** 0000215829
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02676
- **FILM NUMBER:** 23656953

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY SCHOOL STREET TRUST/
- **DATE OF NAME CHANGE:** 19940526

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY LIMITED TERM MUNICIPALS
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Fidelity Series International Developed Markets Bond Index Fund (Series ID: S000072687)

| Class ID   | Class Name                                                      | Ticker Symbol   |
|:---|:---|:---|
| C000229122 | Fidelity Series International Developed Markets Bond Index Fund | FSTQX           |

## 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 School Street Trust

- **b. Investment Company Act file number:** 811-02676

- **c. CIK number of Registrant:** 0000215829

- **d. LEI of Registrant:** WX9R9SUUXPO900BH1D05

- **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 International Developed Markets Bond Index Fund

- **b. EDGAR series identifier (if any):** S000072687

- **c. LEI of Series:** 54930044ZDE46MDDII13

**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:** $8590302561.44

**Total Liabilities:** $330886805.49

**Net Assets:** $8259415755.95

**Cash Not Reported:** $4422410.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4653.52658036 | **1-Year:** 326443.80997616 | **5-Year:** 1094628.87244911 | **10-Year:** 2019755.73193677 | **30-Year:** 1267800.52262183

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

- **3-Month:** 1252.21954327 | **1-Year:** 90810.78906846 | **5-Year:** 398439.26691385 | **10-Year:** 949342.71054273 | **30-Year:** 1036343.81176259

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000229122 | 0.51%                | 2.22%                | -3.32%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-42598966.06            | $27155571.94                               |
| Month 2  | $-77744922.81            | $135436103.25                              |
| Month 3  | $-50630084.82            | $-308205240.76                             |

**Designated Index Information**

- **Index Name:** Bloomberg Global Agg Treasury ex USD, ex EM, RIC C

- **Index Identifier:** 75418742

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JAPAN GOVERNMENT OF                                   | JAPAN #339 0.4% 06/20/2025                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1615650000 | PA      | $12414061.72   | 0.15%             | 2025-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.8% 06/22/2027 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     6886000 | PA      | $6761084.90    | 0.08%             | 2027-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 2.125% 05/18/2032 144A REGS                 | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |   142533000 | PA      | $13316930.59   | 0.16%             | 2032-05-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 1% 06/12/2028 REGS                         | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     5130000 | PA      | $4827521.91    | 0.06%             | 2028-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 02/25/2024 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |       66000 | PA      | $68403.75      | 0.00%             | 2024-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LUXEMBOURG GRAND DUCHY OF                             | LUXEMBOURG GRAND DUCHY OF 0% 04/28/2025 REGS                  | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |      174000 | PA      | $173338.10     | 0.00%             | 2025-04-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/CAD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-121783.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2050 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    16203000 | PA      | $9062581.19    | 0.11%             | 2050-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 1.875% 10/01/2051                       | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    27600000 | PA      | $18171614.16   | 0.22%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 1.625% 10/22/2071 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    21072000 | PA      | $14131427.72   | 0.17%             | 2071-10-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 2.13% 07/16/2030                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |     4750000 | PA      | $545394.60     | 0.01%             | 2030-07-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 4.85% 03/15/2026 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    17828000 | PA      | $20285357.41   | 0.25%             | 2026-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 1.1% 04/01/2027 REGS                        | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    27790000 | PA      | $26681163.64   | 0.32%             | 2027-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.1% 09/20/2027                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  5328100000 | PA      | $40339124.67   | 0.49%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 0.125% 06/17/2027 REGS                     | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     8670000 | PA      | $8020839.86    | 0.10%             | 2027-06-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0% 01/15/2038 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    30030000 | PA      | $21054090.95   | 0.25%             | 2038-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 1.3% 06/20/2052                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  2660000000 | PA      | $19001042.37   | 0.23%             | 2052-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 4.75% 07/04/2040 REGS             | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    21231000 | PA      | $29556240.77   | 0.36%             | 2040-07-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.5% 03/20/2060                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1890000000 | PA      | $9906946.81    | 0.12%             | 2060-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 1% 05/15/2026 REGS                        | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    23017000 | PA      | $23350398.23   | 0.28%             | 2026-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.4% 03/20/2025                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 10960000000 | PA      | $84151654.98   | 1.02%             | 2025-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 1% 11/12/2026 144A REGS                     | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |   276075000 | PA      | $24880495.92   | 0.30%             | 2026-11-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CYPRUS, REPUBLIC OF                                   | CYPRUS REPUBLIC OF 0% 02/09/2026 REGS                         | CUSIP: N/A<br>LEI: 213800IOEYYAHPDLUL60       | Long             | DBT              | NUSS              | CY        |     5219000 | PA      | $4980174.74    | 0.06%             | 2026-02-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 5% 08/01/2034 144A REGS                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     9900000 | PA      | $10801138.05   | 0.13%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 0.25% 05/14/2025 REGS                      | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |    35344000 | PA      | $35173688.05   | 0.43%             | 2025-05-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 1.25% 10/22/2041 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    52057000 | PA      | $39896475.79   | 0.48%             | 2041-10-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LATVIA, REPUBLIC OF                                   | LATVIA REPUBLIC OF 2.25% 02/15/2047 REGS                      | CUSIP: N/A<br>LEI: 25490002QDEB2KTLNK39       | Long             | DBT              | NUSS              | LV        |     1080000 | PA      | $900359.77     | 0.01%             | 2047-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.1% 06/20/2031                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 35355800000 | PA      | $260292395.31  | 3.15%             | 2031-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 0.5% 09/01/2025                          | CUSIP: 135087K94<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    24391000 | PA      | $16511391.98   | 0.20%             | 2025-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 1.25% 06/29/2027                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |    12800000 | PA      | $1474774.53    | 0.02%             | 2027-06-29      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0% 04/20/2025 144A REGS                   | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    15120000 | PA      | $15173272.63   | 0.18%             | 2025-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 1.25% 06/11/2024 REGS               | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     9855000 | PA      | $10660111.88   | 0.13%             | 2024-06-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 2.75% 06/21/2035 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    16600000 | PA      | $9726595.90    | 0.12%             | 2035-06-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |      940000 | PA      | $816177.66     | 0.01%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 11/25/2031 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     7769000 | PA      | $6422798.39    | 0.08%             | 2031-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1.25% 10/31/2030 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    17815000 | PA      | $16368715.46   | 0.20%             | 2030-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 1% 11/21/2031 REGS                  | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    34057000 | PA      | $17991574.92   | 0.22%             | 2031-11-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 3.25% 04/21/2029 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    68300000 | PA      | $45017244.53   | 0.55%             | 2029-04-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 4.5% 04/25/2041 REGS                       | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     2610000 | PA      | $3256204.84    | 0.04%             | 2041-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.35% 06/22/2032 144A REGS                 | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    37690000 | PA      | $31242422.33   | 0.38%             | 2032-06-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/DKK settle 2023-02-01                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-757807.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 4.5% 09/07/2034 REGS        | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     4130000 | PA      | $5291767.39    | 0.06%             | 2034-09-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 4.75% 04/21/2027 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    19600000 | PA      | $13925819.99   | 0.17%             | 2027-04-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.125% 04/15/2036 144A REGS               | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    23991000 | PA      | $17398157.80   | 0.21%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0% 07/15/2031 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     6951000 | PA      | $5885353.96    | 0.07%             | 2031-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 0.5% 06/28/2045 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     6536000 | PA      | $5621108.44    | 0.07%             | 2045-06-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/DKK settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7139379.95   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 0.4875% 10/20/2050 REGS                  | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     6065000 | PA      | $2754219.62    | 0.03%             | 2050-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: USD/HKD settle 2023-02-01                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $23949.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 4% 07/04/2025 144A REGS                   | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    11067000 | PA      | $12210931.53   | 0.15%             | 2025-07-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/NZD settle 2023-02-01                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-89141.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 1.625% 06/19/2049 REGS                  | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     1009000 | PA      | $707320.05     | 0.01%             | 2049-06-19      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 4% 01/15/2037 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     9670000 | PA      | $11649919.48   | 0.14%             | 2037-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 0.25% 06/23/2035 REGS               | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     7110000 | PA      | $6498154.76    | 0.08%             | 2035-06-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PORTUGAL REPUBLIC OF                                  | PORTUGAL REPUBLIC OF 4.1% 04/15/2037 144A REGS                | CUSIP: N/A<br>LEI: 549300P6U1FJ3IMP7K42       | Long             | DBT              | NUSS              | PT        |    24573000 | PA      | $27162525.37   | 0.33%             | 2037-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.5% 05/25/2029 REGS                       | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    32490000 | PA      | $30070550.15   | 0.36%             | 2029-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 1.5% 06/01/2026                          | CUSIP: 135087E67<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    21563000 | PA      | $14883725.38   | 0.18%             | 2026-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 02/25/2027 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    26074000 | PA      | $24922380.09   | 0.30%             | 2027-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0% 01/15/2024 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     5969000 | PA      | $6218366.46    | 0.08%             | 2024-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 0.25% 03/01/2026                         | CUSIP: 135087L51<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    44228000 | PA      | $29338451.08   | 0.36%             | 2026-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 2.4% 05/15/2030 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    10260000 | PA      | $10626644.21   | 0.13%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 1.75% 02/15/2024 REGS             | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     5294000 | PA      | $5620484.12    | 0.07%             | 2024-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 2.25% 08/01/2036                        | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |     8615000 | PA      | $5843136.29    | 0.07%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1.45% 10/31/2071 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     9459000 | PA      | $4695040.47    | 0.06%             | 2071-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/AUD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10250956.86  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1.95% 04/30/2026 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    11790000 | PA      | $12205412.78   | 0.15%             | 2026-04-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 1.75% 09/06/2029 144A REGS                  | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |    75590000 | PA      | $7077596.76    | 0.09%             | 2029-09-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/CHF settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5105676.83   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1.4% 04/30/2028 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    14259000 | PA      | $13959642.78   | 0.17%             | 2028-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 1.25% 06/01/2030                         | CUSIP: 135087K37<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    12150000 | PA      | $7782640.32    | 0.09%             | 2030-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: NOK/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1147641.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 2% 06/25/2064 REGS                  | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     2842000 | PA      | $3574812.76    | 0.04%             | 2064-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.6% 06/20/2024                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  8141100000 | PA      | $62547642.04   | 0.76%             | 2024-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0.95% 06/01/2032 REGS                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    31140000 | PA      | $24457527.53   | 0.30%             | 2032-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 2.375% 07/01/2039                       | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |     5400000 | PA      | $3729281.77    | 0.05%             | 2039-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT #77 2% 3/20/25                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    40000000 | PA      | $317860.41     | 0.00%             | 2025-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0% 07/15/2024 144A REGS                   | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    54987000 | PA      | $56394800.47   | 0.68%             | 2024-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 1.5% 05/25/2050 144A REGS                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     9827000 | PA      | $7200216.68    | 0.09%             | 2050-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0% 01/15/2029                       | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     4200000 | PA      | $3821461.53    | 0.05%             | 2029-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/SGD settle 2023-02-01                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1514896.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.75% 05/25/2028 REGS                      | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    12780000 | PA      | $12276993.20   | 0.15%             | 2028-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 4.75% 09/01/2044 144A REGS                  | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    13626000 | PA      | $14558238.35   | 0.18%             | 2044-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0.25% 02/15/2029 REGS             | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    20250000 | PA      | $18999203.97   | 0.23%             | 2029-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 1.3% 10/15/2027 REGS              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    12400000 | PA      | $12555877.49   | 0.15%             | 2027-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 2.75% 10/31/2024 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    15259000 | PA      | $16282609.75   | 0.20%             | 2024-10-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 2.75% 01/15/2047 144A REGS          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    18665000 | PA      | $20175752.69   | 0.24%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 1.875% 03/01/2050                       | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    22250000 | PA      | $14452366.73   | 0.17%             | 2050-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 4.25% 03/07/2036 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     3699000 | PA      | $4623056.46    | 0.06%             | 2036-03-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 1% 08/15/2024 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    18270000 | PA      | $19085560.13   | 0.23%             | 2024-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0.5% 07/15/2032 144A REGS           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    24500000 | PA      | $21194037.52   | 0.26%             | 2032-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LUXEMBOURG GRAND DUCHY OF                             | LUXEMBOURG GRAND DUCHY OF 0% 04/28/2030 REGS                  | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |     1879000 | PA      | $1621733.89    | 0.02%             | 2030-04-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0% 04/01/2026 REGS                          | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    51571000 | PA      | $49052223.32   | 0.59%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: EUR/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $18133717.36   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 3.5% 04/25/2026 REGS                       | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    10516000 | PA      | $11505943.79   | 0.14%             | 2026-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 4.5% 04/15/2027 REGS                | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    12600000 | PA      | $7976460.75    | 0.10%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 0.55% 04/22/2041 REGS                     | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    18406000 | PA      | $12375267.53   | 0.15%             | 2041-04-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT #73 2% 12/20/24                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1548550000 | PA      | $12250937.28   | 0.15%             | 2024-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 5.4% 03/13/2025                           | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    42472000 | PA      | $47951314.17   | 0.58%             | 2025-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 0% 06/17/2024 REGS                         | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     6882000 | PA      | $7041719.95    | 0.09%             | 2024-06-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.75% 02/25/2028 REGS                      | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     1900000 | PA      | $1834508.73    | 0.02%             | 2028-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 2.15% 03/01/2072 144A REGS                  | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     4097000 | PA      | $2453867.28    | 0.03%             | 2072-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.005% 06/20/2027                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  2590000000 | PA      | $19550513.56   | 0.24%             | 2027-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 1.7% 09/01/2051 144A REGS                   | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     5786000 | PA      | $3440050.08    | 0.04%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 10/09/2026 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    12249000 | PA      | $11939341.03   | 0.14%             | 2026-10-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 3% 03/14/2024 144A REGS                     | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |   101148000 | PA      | $10306011.51   | 0.12%             | 2024-03-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 11/25/2029 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    40654000 | PA      | $35888920.58   | 0.43%             | 2029-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 5.75% 06/01/2029                         | CUSIP: 135087WL4<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     4040000 | PA      | $3406997.05    | 0.04%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0.25% 07/15/2025 144A REGS          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    35050000 | PA      | $35333399.57   | 0.43%             | 2025-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CYPRUS, REPUBLIC OF                                   | CYPRUS REPUBLIC OF 2.25% 04/16/2050 REGS                      | CUSIP: N/A<br>LEI: 213800IOEYYAHPDLUL60       | Long             | DBT              | NUSS              | CY        |     5419000 | PA      | $4116732.91    | 0.05%             | 2050-04-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 2% 05/15/2032                       | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    41113000 | PA      | $21216228.79   | 0.26%             | 2032-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 3.5% 03/01/2027                         | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    18124000 | PA      | $13883249.22   | 0.17%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/SEK settle 2023-02-01                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-351064.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 1.625% 07/01/2031                       | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    77154000 | PA      | $51267030.01   | 0.62%             | 2031-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 2.75% 09/01/2027                         | CUSIP: 135087N83<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    21200000 | PA      | $15214920.59   | 0.18%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/EUR settle 2023-02-01                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-18547524.08  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0.95% 03/01/2037 144A REGS                  | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    41747000 | PA      | $27884912.55   | 0.34%             | 2037-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 0% 11/15/2024                              | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |   197000000 | PA      | $26929402.03   | 0.33%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 1.5% 03/25/2035 REGS                     | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     6884000 | PA      | $5583447.20    | 0.07%             | 2035-03-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1.45% 04/30/2029 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     8730000 | PA      | $8421758.35    | 0.10%             | 2029-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/GBP settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13292.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                    | FX Forward: JPY/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $51003.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 2.15% 06/22/2066 144A REGS                 | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     4230000 | PA      | $3513920.88    | 0.04%             | 2066-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 2.875% 10/15/2025 144A REGS | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    78288000 | PA      | $83803389.34   | 1.01%             | 2025-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 1.75% 11/21/2032 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    13400000 | PA      | $7426713.19    | 0.09%             | 2032-11-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 4.25% 12/07/2040 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     3110000 | PA      | $3844468.37    | 0.05%             | 2040-12-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 02/15/2032 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    15890000 | PA      | $13604770.81   | 0.16%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 1.1% 09/20/2042                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  2992500000 | PA      | $22051332.10   | 0.27%             | 2042-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.125% 09/15/2031 144A REGS               | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    22467000 | PA      | $18797564.24   | 0.23%             | 2031-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.75% 05/25/2053 144A REGS                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     7000000 | PA      | $3910824.84    | 0.05%             | 2053-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 02/25/2023 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |       63000 | PA      | $67235.36      | 0.00%             | 2023-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.875% 01/31/2046 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    17192000 | PA      | $10997787.75   | 0.13%             | 2046-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.5% 10/22/2061 REGS        | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     1816000 | PA      | $781361.79     | 0.01%             | 2061-10-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 1.75% 12/01/2053                         | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    13200000 | PA      | $6868192.02    | 0.08%             | 2053-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                        | FX Forward: CAD/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $700290.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 0.25% 11/21/2025 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    62192000 | PA      | $38596453.81   | 0.47%             | 2025-11-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.4% 03/20/2056                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   140000000 | PA      | $734669.31     | 0.01%             | 2056-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.005% 03/20/2027                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  5770000000 | PA      | $43630239.26   | 0.53%             | 2027-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 3.25% 04/21/2025 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    80700000 | PA      | $54685806.14   | 0.66%             | 2025-04-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0.45% 02/15/2029 REGS                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    29560000 | PA      | $25393740.62   | 0.31%             | 2029-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: USD/SEK settle 2023-01-04                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2212246.89   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 1.375% 04/15/2047 144A REGS               | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |     5710000 | PA      | $4491906.84    | 0.05%             | 2047-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 0.4% 05/15/2035 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    24240000 | PA      | $18594127.49   | 0.23%             | 2035-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 1.25% 05/25/2036 144A REGS                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    79486000 | PA      | $66671522.10   | 0.81%             | 2036-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LATVIA, REPUBLIC OF                                   | LATVIA REPUBLIC OF 1.125% 05/30/2028 REGS                     | CUSIP: N/A<br>LEI: 25490002QDEB2KTLNK39       | Long             | DBT              | NUSS              | LV        |      400000 | PA      | $377620.50     | 0.00%             | 2028-05-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0.5% 10/31/2031 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     7736000 | PA      | $6445268.83    | 0.08%             | 2031-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                       | FX Forward: USD/HKD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28011.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 0.5% 11/15/2029                            | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |   178726000 | PA      | $22221370.10   | 0.27%             | 2029-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.5% 04/15/2026 144A REGS                 | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    13649000 | PA      | $13620588.87   | 0.16%             | 2026-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CYPRUS, REPUBLIC OF                                   | CYPRUS REPUBLIC OF 0.625% 01/21/2030 REGS                     | CUSIP: N/A<br>LEI: 213800IOEYYAHPDLUL60       | Long             | DBT              | NUSS              | CY        |     4882000 | PA      | $4012631.12    | 0.05%             | 2030-01-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 1.45% 05/15/2025 REGS                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    12582000 | PA      | $12889260.58   | 0.16%             | 2025-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/NOK settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3529221.15   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 2.1% 11/15/2029 REGS              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     5600000 | PA      | $5850503.74    | 0.07%             | 2029-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: USD/JPY settle 2023-02-01                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27771330.03  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 0% 02/12/2031 REGS                       | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     5375000 | PA      | $4232254.88    | 0.05%             | 2031-02-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                    | FX Forward: JPY/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $218040.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/NZD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $12665.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 2% 01/15/2054 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     7500000 | PA      | $6942778.11    | 0.08%             | 2054-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 0.3% 10/17/2031 144A REGS   | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |     2477000 | PA      | $2032908.61    | 0.02%             | 2031-10-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.5% 09/15/2028 144A REGS                 | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    19079000 | PA      | $17881091.15   | 0.22%             | 2028-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 2% 02/18/2045 REGS                        | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    23584000 | PA      | $20210531.65   | 0.24%             | 2045-02-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.3% 12/20/2025                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  3000000000 | PA      | $23015696.43   | 0.28%             | 2025-12-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 0.375% 04/21/2036 REGS                     | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     5220000 | PA      | $3500333.60    | 0.04%             | 2036-04-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 2.5% 12/01/2032 REGS                        | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    14400000 | PA      | $12902289.67   | 0.16%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 2.65% 12/01/2027 REGS                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    11500000 | PA      | $11623621.12   | 0.14%             | 2027-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 1.5% 04/30/2042 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     9324000 | PA      | $9904525.26    | 0.12%             | 2042-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 3.75% 04/21/2037 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    29572000 | PA      | $19003164.08   | 0.23%             | 2037-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 1.25% 08/15/2048 REGS             | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     4320000 | PA      | $3596814.75    | 0.04%             | 2048-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 2.6% 06/22/2024 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    20875000 | PA      | $22292014.13   | 0.27%             | 2024-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.1% 06/20/2027                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  5020150000 | PA      | $38046264.82   | 0.46%             | 2027-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 4% 06/01/2041                            | CUSIP: 135087YQ1<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    16281000 | PA      | $13084921.86   | 0.16%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1.9% 10/31/2052 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     2600000 | PA      | $1782397.73    | 0.02%             | 2052-10-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 5.65% 02/15/2024 144A REGS  | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    41450000 | PA      | $45752513.33   | 0.55%             | 2024-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 0.5% 07/28/2050 REGS                    | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     2285000 | PA      | $1098991.73    | 0.01%             | 2050-07-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 2.5% 05/12/2025 144A REGS                   | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |   223435000 | PA      | $21270289.97   | 0.26%             | 2025-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 2.7% 10/31/2048 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     3843000 | PA      | $3355011.46    | 0.04%             | 2048-10-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 1.75% 11/11/2033 144A REGS                  | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |    91000000 | PA      | $8205902.34    | 0.10%             | 2033-11-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 0.5% 11/24/2045 144A REGS                   | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |    48860000 | PA      | $3231033.93    | 0.04%             | 2045-11-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 2.125% 06/01/2026                       | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    65913000 | PA      | $48049464.84   | 0.58%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LATVIA, REPUBLIC OF                                   | LATVIA REPUBLIC OF 0% 03/17/2031 REGS                         | CUSIP: N/A<br>LEI: 25490002QDEB2KTLNK39       | Long             | DBT              | NUSS              | LV        |     6978000 | PA      | $5477551.11    | 0.07%             | 2031-03-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0% 05/31/2024                                | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    25154000 | PA      | $25863002.96   | 0.31%             | 2024-05-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 1.75% 07/15/2023 144A REGS          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |       39000 | PA      | $41607.48      | 0.00%             | 2023-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 1% 10/09/2030 REGS                         | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |    21333000 | PA      | $18769405.15   | 0.23%             | 2030-10-09      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 0% 11/15/2031                              | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |    50702000 | PA      | $5767728.38    | 0.07%             | 2031-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT #15 2.5% 6/20/34                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  8518600000 | PA      | $77580014.42   | 0.94%             | 2034-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 1.375% 08/19/2030 144A REGS                 | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |   230881000 | PA      | $20704017.06   | 0.25%             | 2030-08-19      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 2.9% 10/31/2046 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |      720000 | PA      | $662952.12     | 0.01%             | 2046-10-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 0.475% 10/18/2030 144A REGS | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    31391000 | PA      | $27174607.21   | 0.33%             | 2030-10-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 0.35% 10/18/2032 REGS                     | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    29012000 | PA      | $24094281.59   | 0.29%             | 2032-10-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                         | LONG GILT FUTURE MAR23 G H3                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         460 | NC      | $-3845842.86   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 0.5% 05/30/2058 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     3907000 | PA      | $3075715.14    | 0.04%             | 2058-05-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 1% 12/21/2030 REGS                  | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    21812000 | PA      | $11857096.09   | 0.14%             | 2030-12-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 0.125% 05/12/2031 144A REGS                 | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |   176865000 | PA      | $14060525.38   | 0.17%             | 2031-05-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 3.75% 06/22/2045 REGS                      | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     3138000 | PA      | $3561603.98    | 0.04%             | 2045-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.375% 10/22/2030 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     4377000 | PA      | $4133777.72    | 0.05%             | 2030-10-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 3.875% 02/08/2033 REGS                     | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     3054000 | PA      | $3277163.72    | 0.04%             | 2033-02-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 02/25/2025 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    46410000 | PA      | $46768758.14   | 0.57%             | 2025-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 2.55% 10/31/2032 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    17900000 | PA      | $17537078.89   | 0.21%             | 2032-10-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0.5% 07/15/2026 144A REGS           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     9511000 | PA      | $9450152.34    | 0.11%             | 2026-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 2% 05/24/2023 144A REGS                     | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |      214000 | PA      | $21747.58      | 0.00%             | 2023-05-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LUXEMBOURG GRAND DUCHY OF                             | LUXEMBOURG GRAND DUCHY OF 0% 11/13/2026 REGS                  | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |     3426000 | PA      | $3271550.67    | 0.04%             | 2026-11-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 1.95% 06/15/2029 144A REGS  | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    46574000 | PA      | $46523967.38   | 0.56%             | 2029-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 6% 05/01/2031 REGS                          | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    20409000 | PA      | $24457945.19   | 0.30%             | 2031-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.5% 01/31/2029 REGS        | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    24400000 | PA      | $24382723.68   | 0.30%             | 2029-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 1% 04/22/2024 REGS          | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    26226000 | PA      | $30642823.04   | 0.37%             | 2024-04-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 3.25% 07/04/2042 REGS             | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    18570000 | PA      | $22050552.30   | 0.27%             | 2042-07-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.75% 05/25/2052 REGS                      | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    34264000 | PA      | $19679013.04   | 0.24%             | 2052-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 2.5% 05/25/2030 REGS                       | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    23878000 | PA      | $24997727.15   | 0.30%             | 2030-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 1.2% 10/20/2025 144A REGS                 | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    29419000 | PA      | $30251304.51   | 0.37%             | 2025-10-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CYPRUS, REPUBLIC OF                                   | CYPRUS REPUBLIC OF 2.75% 02/26/2034 REGS                      | CUSIP: N/A<br>LEI: 213800IOEYYAHPDLUL60       | Long             | DBT              | NUSS              | CY        |     1789000 | PA      | $1637714.03    | 0.02%             | 2034-02-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.1% 03/20/2027                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  3530000000 | PA      | $26795615.67   | 0.32%             | 2027-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 0.25% 08/01/2023                         | CUSIP: 135087M35<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |       24000 | PA      | $17293.83      | 0.00%             | 2023-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.5% 06/25/2044 144A REGS                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     7500000 | PA      | $4674473.16    | 0.06%             | 2044-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0.8% 07/30/2027 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    23656000 | PA      | $22855387.60   | 0.28%             | 2027-07-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 4.15% 03/15/2037 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    16199000 | PA      | $19220870.34   | 0.23%             | 2037-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 5.5% 01/04/2031 REGS              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    14881000 | PA      | $19305308.88   | 0.23%             | 2031-01-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0% 04/15/2024 REGS                          | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    36404000 | PA      | $37462330.01   | 0.45%             | 2024-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 2.5% 07/22/2065 REGS        | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     4840000 | PA      | $4376200.72    | 0.05%             | 2065-07-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0.75% 07/15/2027 144A REGS          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    27602000 | PA      | $27174326.53   | 0.33%             | 2027-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.2% 10/22/2023 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     6120000 | PA      | $6428752.22    | 0.08%             | 2023-10-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 0.75% 05/12/2028 144A REGS                  | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |   122560000 | PA      | $10719807.24   | 0.13%             | 2028-05-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 1.7% 06/22/2050 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    27649000 | PA      | $20885979.80   | 0.25%             | 2050-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 4.75% 04/25/2035 REGS                      | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |       36000 | PA      | $44402.33      | 0.00%             | 2035-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0.5% 01/15/2040 144A REGS           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    42689000 | PA      | $31498556.03   | 0.38%             | 2040-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 1.25% 05/28/2026 REGS               | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     5574000 | PA      | $6004113.99    | 0.07%             | 2026-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 4.25% 12/07/2049 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    15124000 | PA      | $18951195.16   | 0.23%             | 2049-12-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0.85% 07/30/2037 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    29474000 | PA      | $20984319.35   | 0.25%             | 2037-07-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 1.4% 06/22/2053 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    22010000 | PA      | $14916077.30   | 0.18%             | 2053-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 1% 04/12/2052 144A REGS     | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    10015000 | PA      | $5336907.54    | 0.06%             | 2052-04-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 0.7% 10/15/2027 144A REGS   | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    56405000 | PA      | $54454008.60   | 0.66%             | 2027-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0.95% 08/01/2030 REGS                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    16920000 | PA      | $14206121.91   | 0.17%             | 2030-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0% 10/22/2027 144A REGS                    | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    38428000 | PA      | $35951799.31   | 0.44%             | 2027-10-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/NOK settle 2023-02-01                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1166131.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0% 01/31/2026                                | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    32671000 | PA      | $31891369.61   | 0.39%             | 2026-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 2% 04/26/2028 144A REGS                     | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |    45900000 | PA      | $4435481.99    | 0.05%             | 2028-04-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: USD/CHF settle 2023-02-01                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $100971.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.75% 11/25/2028 REGS                      | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    36762000 | PA      | $35008458.06   | 0.42%             | 2028-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.5% 09/15/2027 144A REGS                 | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    13808000 | PA      | $13259713.71   | 0.16%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 1% 06/22/2031 144A REGS                    | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    19681000 | PA      | $17930655.97   | 0.22%             | 2031-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 3.5% 04/14/2033 REGS                | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    10400000 | PA      | $6072808.34    | 0.07%             | 2033-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 04/16/2027 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    18990000 | PA      | $18276765.83   | 0.22%             | 2027-04-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GRAND DUCHY OF LUXEMBOURG                             | GRAND DUCHY OF LUXEMBOURG 1.75% 05/25/2042 REGS               | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |     3330000 | PA      | $2924289.66    | 0.04%             | 2042-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 2.75% 05/15/2051                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    13200000 | PA      | $6006349.55    | 0.07%             | 2051-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                       | FX Forward: EUR/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $432060.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 1.7% 08/15/2032 REGS              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    20300000 | PA      | $20256831.78   | 0.25%             | 2032-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 05/15/2036 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    14965000 | PA      | $11380323.77   | 0.14%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.9% 06/22/2029 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    29176000 | PA      | $27648202.49   | 0.33%             | 2029-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 2.75% 04/21/2024 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    15698000 | PA      | $10607823.46   | 0.13%             | 2024-04-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/EUR settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-566513.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0.35% 07/30/2023                             | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |      580000 | PA      | $613423.08     | 0.01%             | 2023-07-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LATVIA, REPUBLIC OF                                   | LATVIA REPUBLIC OF 1.375% 05/16/2036 REGS                     | CUSIP: N/A<br>LEI: 25490002QDEB2KTLNK39       | Long             | DBT              | NUSS              | LV        |     1633000 | PA      | $1312126.17    | 0.02%             | 2036-05-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: USD/CAD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4852459.03    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 0.5% 06/27/2032 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |    27300000 | PA      | $26742514.90   | 0.32%             | 2032-06-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GRAND DUCHY OF LUXEMBOURG                             | GRAND DUCHY OF LUXEMBOURG 1.375% 05/25/2029 REGS              | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |     3870000 | PA      | $3764666.88    | 0.05%             | 2029-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0.75% 07/15/2028 144A REGS          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    70454000 | PA      | $68095502.21   | 0.82%             | 2028-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 2.75% 08/01/2024                         | CUSIP: 135087N91<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    68000000 | PA      | $49138035.45   | 0.59%             | 2024-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 2.75% 11/21/2027 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    55551000 | PA      | $36240564.90   | 0.44%             | 2027-11-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT #64 1.9% 9/20/23                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  3670000000 | PA      | $28347142.64   | 0.34%             | 2023-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: USD/GBP settle 2023-01-04                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5306738.48   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 3.5% 07/22/2068 REGS        | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     1510000 | PA      | $1746834.82    | 0.02%             | 2068-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 2.75% 05/21/2041 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    14678000 | PA      | $7958036.93    | 0.10%             | 2041-05-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 1.75% 03/13/2025 144A REGS                  | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |   199500000 | PA      | $19782609.63   | 0.24%             | 2025-03-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 3.875% 02/15/2030 144A REGS | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    16065000 | PA      | $17940367.93   | 0.22%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.5% 09/15/2029 144A REGS                 | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    19245000 | PA      | $17561778.67   | 0.21%             | 2029-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 2.02% 03/07/2034                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |    12000000 | PA      | $1276540.92    | 0.02%             | 2034-03-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 1.65% 03/01/2032 144A REGS                  | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     1710000 | PA      | $1452111.45    | 0.02%             | 2032-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 0.25% 11/15/2052                           | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |   148550000 | PA      | $11466097.81   | 0.14%             | 2052-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.5% 04/15/2043 144A REGS                 | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    16470000 | PA      | $10846167.60   | 0.13%             | 2043-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 1% 06/22/2026 144A REGS                    | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    10527000 | PA      | $10646531.29   | 0.13%             | 2026-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0% 12/15/2024 REGS                          | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    39780000 | PA      | $40036067.31   | 0.48%             | 2024-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                    | FX Forward: JPY/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $1396502.89    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0.25% 03/15/2028 REGS                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    24775000 | PA      | $21910622.97   | 0.27%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 0.5% 05/15/2024                     | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    62689000 | PA      | $37402822.99   | 0.45%             | 2024-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 1.5% 11/15/2023                            | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |       98000 | PA      | $13970.80      | 0.00%             | 2023-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 2% 12/01/2051                            | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    68669000 | PA      | $38666631.45   | 0.47%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 0.5% 09/21/2026 REGS                | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    10076000 | PA      | $6126472.86    | 0.07%             | 2026-09-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 1.5% 05/15/2050 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    22443000 | PA      | $16608779.65   | 0.20%             | 2050-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 1.4% 12/20/2045                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   970400000 | PA      | $7387580.37    | 0.09%             | 2045-12-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 1.375% 06/23/2071 144A REGS                 | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |    25210000 | PA      | $1422174.21    | 0.02%             | 2071-06-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CYPRUS, REPUBLIC OF                                   | CYPRUS REPUBLIC OF 1.25% 01/21/2040 REGS                      | CUSIP: N/A<br>LEI: 213800IOEYYAHPDLUL60       | Long             | DBT              | NUSS              | CY        |     5874000 | PA      | $4100053.77    | 0.05%             | 2040-01-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: GBP/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $930488.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 2.25% 06/12/2068 REGS                      | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     1282000 | PA      | $984884.94     | 0.01%             | 2068-06-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 4.2% 01/31/2037 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     6230000 | PA      | $6987423.65    | 0.08%             | 2037-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.25% 09/15/2040 144A REGS                | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    27189000 | PA      | $17701626.63   | 0.21%             | 2040-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                           | FX Forward: USD/EUR settle 2023-01-04                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-4084582.10   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 3.45% 07/30/2043 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     2700000 | PA      | $2679229.30    | 0.03%             | 2043-07-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0% 10/20/2040 144A REGS                   | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    33809000 | PA      | $20627767.70   | 0.25%             | 2040-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0.6% 08/01/2031 144A REGS                   | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    20243000 | PA      | $15873073.44   | 0.19%             | 2031-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GRAND DUCHY OF LUXEMBOURG                             | GRAND DUCHY OF LUXEMBOURG 0% 03/24/2031 REGS                  | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |     9303000 | PA      | $7817102.11    | 0.09%             | 2031-03-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 2.875% 09/01/2027                       | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    27500000 | PA      | $20578393.31   | 0.25%             | 2027-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.005% 06/20/2026                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  5883750000 | PA      | $44695249.64   | 0.54%             | 2026-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 1.1875% 03/14/2029 REGS                  | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     4421000 | PA      | $4130017.35    | 0.05%             | 2029-03-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.1% 09/20/2028                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1415100000 | PA      | $10644303.70   | 0.13%             | 2028-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0% 01/31/2027                                | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    31580000 | PA      | $29838357.21   | 0.36%             | 2027-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 1% 03/06/2028 REGS                       | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     9000000 | PA      | $8570065.49    | 0.10%             | 2028-03-06      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0% 01/15/2052 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    17727000 | PA      | $9186786.53    | 0.11%             | 2052-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 2.625% 08/01/2032                       | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    12800000 | PA      | $9190407.65    | 0.11%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.7% 03/20/2061                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  5773100000 | PA      | $32353377.93   | 0.39%             | 2061-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/GBP settle 2023-02-01                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-956320.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: DKK/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $49205.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 1.75% 02/01/2023                        | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |      109000 | PA      | $81199.13      | 0.00%             | 2023-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: DKK/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $711727.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 0.25% 04/01/2024                         | CUSIP: 135087L69<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    37162000 | PA      | $26123458.80   | 0.32%             | 2024-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.125% 04/15/2052 144A REGS               | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    15600000 | PA      | $7831840.36    | 0.09%             | 2052-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.125% 01/31/2028 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     7096000 | PA      | $7193419.22    | 0.09%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 1.75% 06/21/2051 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    21612000 | PA      | $8527217.42    | 0.10%             | 2051-06-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 5.75% 06/01/2033                         | CUSIP: 135087XG4<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    14800000 | PA      | $13236818.32   | 0.16%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.9% 06/20/2042                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  3810000000 | PA      | $27176587.17   | 0.33%             | 2042-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: SGD/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1492784.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0.25% 07/15/2029 144A REGS          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     1900000 | PA      | $1736179.98    | 0.02%             | 2029-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 0% 11/15/2031                              | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |   175827000 | PA      | $19916658.40   | 0.24%             | 2031-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.2% 09/20/2032                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1023200000 | PA      | $7632289.24    | 0.09%             | 2032-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.5% 05/25/2072 144A REGS                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     8170000 | PA      | $3275305.84    | 0.04%             | 2072-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 2.25% 03/03/2032 REGS                    | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     6950000 | PA      | $6567744.06    | 0.08%             | 2032-03-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 2.5% 08/15/2046 REGS              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     7381000 | PA      | $7950040.78    | 0.10%             | 2046-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 1.5% 09/15/2032 144A REGS                 | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    11660000 | PA      | $10849956.21   | 0.13%             | 2032-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 2.75% 11/21/2028 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    28367000 | PA      | $18265519.03   | 0.22%             | 2028-11-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.2% 06/20/2036                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  4474500000 | PA      | $31046361.21   | 0.38%             | 2036-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 1.625% 10/22/2028 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     3570000 | PA      | $3875983.39    | 0.05%             | 2028-10-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 05/25/2032 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    22900000 | PA      | $18549708.10   | 0.22%             | 2032-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0% 07/15/2030 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    30013000 | PA      | $26144969.66   | 0.32%             | 2030-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 1.25% 07/22/2027 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    18140000 | PA      | $19755739.15   | 0.24%             | 2027-07-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 0.2% 05/15/2027 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |     7634000 | PA      | $7300291.18    | 0.09%             | 2027-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0% 01/15/2026                       | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    23520000 | PA      | $23189996.20   | 0.28%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 2% 05/25/2048 144A REGS                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |       70000 | PA      | $58545.33      | 0.00%             | 2048-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 5.75% 07/30/2032                             | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     6620000 | PA      | $8421736.23    | 0.10%             | 2032-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 04/11/2025 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    26010000 | PA      | $26299099.94   | 0.32%             | 2025-04-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LATVIA, REPUBLIC OF                                   | LATVIA REPUBLIC OF 0.375% 10/07/2026 REGS                     | CUSIP: N/A<br>LEI: 25490002QDEB2KTLNK39       | Long             | DBT              | NUSS              | LV        |    16787000 | PA      | $15875190.43   | 0.19%             | 2026-10-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT 0.1% 03/20/2024                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   260000000 | PA      | $1983143.86    | 0.02%             | 2024-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 3.8% 01/26/2062 144A REGS                 | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    11365000 | PA      | $13910804.41   | 0.17%             | 2062-01-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 03/25/2025 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    53272000 | PA      | $53598037.09   | 0.65%             | 2025-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 2.15% 09/01/2052 144A REGS                  | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    13410000 | PA      | $8696442.65    | 0.11%             | 2052-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 4.1% 02/15/2045 144A REGS   | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |     9047000 | PA      | $10090174.59   | 0.12%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0% 02/25/2026 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    60900000 | PA      | $59800201.36   | 0.72%             | 2026-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0.875% 09/15/2025 144A REGS               | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    22796000 | PA      | $23230439.15   | 0.28%             | 2025-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ESTONIA REPUBLIC OF                                   | ESTONIA REPUBLIC OF 0.125% 06/10/2030 REGS                    | CUSIP: N/A<br>LEI: 254900EIG0O7C6C9R437       | Long             | DBT              | NUSS              | EE        |     2467000 | PA      | $2060319.26    | 0.02%             | 2030-06-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.375% 10/22/2026 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     5740000 | PA      | $6139540.85    | 0.07%             | 2026-10-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.625% 06/07/2025 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    38580000 | PA      | $43534980.91   | 0.53%             | 2025-06-07      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 3% 04/20/2029                       | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    39494000 | PA      | $23046194.07   | 0.28%             | 2029-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0.8% 07/30/2029                              | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    24230000 | PA      | $22176137.92   | 0.27%             | 2029-07-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.65% 06/22/2071 144A REGS                 | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     1103000 | PA      | $492874.06     | 0.01%             | 2071-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 1.75% 11/03/2040 REGS                    | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     6840000 | PA      | $5049972.46    | 0.06%             | 2040-11-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: JPY/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $27188187.88   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 2.7% 03/01/2047 144A REGS                   | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     5850000 | PA      | $4533232.85    | 0.05%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ESTONIA REPUBLIC OF                                   | ESTONIA REPUBLIC OF 4% 10/12/2032 REGS                        | CUSIP: N/A<br>LEI: 254900EIG0O7C6C9R437       | Long             | DBT              | NUSS              | EE        |     3700000 | PA      | $4031956.96    | 0.05%             | 2032-10-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0.85% 06/30/2120 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    11016000 | PA      | $4859515.00    | 0.06%             | 2120-06-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 3.125% 08/07/2045 REGS                   | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     6338000 | PA      | $5814462.54    | 0.07%             | 2045-08-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 2% 11/25/2032 REGS                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    16900000 | PA      | $16502068.92   | 0.20%             | 2032-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 5% 03/28/2035 144A REGS                    | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    46949000 | PA      | $58782380.74   | 0.71%             | 2035-03-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 0.5% 05/24/2055 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     6700000 | PA      | $5406953.98    | 0.07%             | 2055-05-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT #140 1.7% 9/20/2032                                | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   200000000 | PA      | $1694193.84    | 0.02%             | 2032-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0.5% 04/20/2027 144A REGS                 | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    58716000 | PA      | $56928689.92   | 0.69%             | 2027-04-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 0% 07/24/2039 REGS                  | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     2070000 | PA      | $1713856.57    | 0.02%             | 2039-07-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 2% 06/01/2032                            | CUSIP: 135087N59<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    23400000 | PA      | $15485995.57   | 0.19%             | 2032-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 3.5% 10/06/2042 144A REGS                   | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |    36600000 | PA      | $3834033.81    | 0.05%             | 2042-10-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                        | FX Forward: USD/CAD settle 2023-02-01                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-700886.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 1.97% 01/17/2029                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |    36000000 | PA      | $4187742.24    | 0.05%             | 2029-01-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 2.25% 06/22/2031 REGS               | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |    16319000 | PA      | $18617973.21   | 0.23%             | 2031-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 09/15/2023 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    34151000 | PA      | $35995203.92   | 0.44%             | 2023-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 1.875% 03/09/2037 REGS                     | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     4837000 | PA      | $4006737.05    | 0.05%             | 2037-03-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.6% 12/20/2036                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  8330000000 | PA      | $60613380.83   | 0.73%             | 2036-12-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.005% 05/01/2023                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    40000000 | PA      | $304864.37     | 0.00%             | 2023-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0.75% 10/20/2026 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    12510000 | PA      | $12455409.44   | 0.15%             | 2026-10-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 3.75% 01/15/2042 144A REGS          | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    10930000 | PA      | $13267009.89   | 0.16%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0.75% 03/20/2051 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    48477000 | PA      | $29741705.65   | 0.36%             | 2051-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.4% 06/20/2041                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 27727900000 | PA      | $181537037.46  | 2.20%             | 2041-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 2.25% 06/01/2032 144A REGS                  | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |    87865000 | PA      | $8342116.48    | 0.10%             | 2032-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0% 04/30/2023                                | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |       16000 | PA      | $17000.49      | 0.00%             | 2023-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: CHF/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-175339.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0.7% 04/30/2032 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    22230000 | PA      | $18534578.65   | 0.22%             | 2032-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 0% 01/15/2027 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     2084000 | PA      | $2003497.46    | 0.02%             | 2027-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0.25% 10/20/2036 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    25709000 | PA      | $18680711.06   | 0.23%             | 2036-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0% 08/01/2026 REGS                          | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    12600000 | PA      | $11840461.43   | 0.14%             | 2026-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 1.5% 11/13/2023 144A REGS                   | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |      745000 | PA      | $70557.90      | 0.00%             | 2023-11-13      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 2.8% 06/15/2029 REGS                        | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    16700000 | PA      | $16481217.20   | 0.20%             | 2029-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 4.5% 03/28/2026 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    12960000 | PA      | $14659910.33   | 0.18%             | 2026-03-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 6.5% 07/04/2027 REGS              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     4770000 | PA      | $5957367.40    | 0.07%             | 2027-07-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 4.75% 07/04/2034 REGS             | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |      650000 | PA      | $848716.56     | 0.01%             | 2034-07-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 0.5% 11/01/2025                         | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |     7500000 | PA      | $5236673.14    | 0.06%             | 2025-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT #96 2.1% 6/20/27                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   730000000 | PA      | $6026115.51    | 0.07%             | 2027-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2052 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    14719000 | PA      | $7870949.60    | 0.10%             | 2052-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                    | FX Forward: USD/EUR settle 2023-01-04                         | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-162875190.40 | -1.97%            |  |  |  | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 3% 02/28/2023 REGS                         | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |      429000 | PA      | $459280.46     | 0.01%             | 2023-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                          | Fidelity Cash Central Fund                                    | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |    77346187 | NS      | $77361656.18   | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 1.7% 05/15/2037 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |     8190000 | PA      | $7231710.98    | 0.09%             | 2037-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 0.75% 11/12/2029 144A REGS                  | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |   209120000 | PA      | $17930316.76   | 0.22%             | 2029-11-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 5.15% 10/31/2044 144A REGS                   | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    14225000 | PA      | $18122837.64   | 0.22%             | 2044-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 0.9% 05/15/2028 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    28728000 | PA      | $27835624.50   | 0.34%             | 2028-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 1.9% 06/22/2038 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     8350000 | PA      | $7390651.82    | 0.09%             | 2038-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0.65% 10/15/2023 REGS                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     3630000 | PA      | $3823480.93    | 0.05%             | 2023-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 1.125% 04/15/2034 144A REGS               | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |     5620000 | PA      | $4899288.34    | 0.06%             | 2034-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0% 05/31/2025                                | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    20610000 | PA      | $20541110.16   | 0.25%             | 2025-05-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CYPRUS, REPUBLIC OF                                   | CYPRUS REPUBLIC OF 0.95% 01/20/2032 REGS                      | CUSIP: N/A<br>LEI: 213800IOEYYAHPDLUL60       | Long             | DBT              | NUSS              | CY        |     1900000 | PA      | $1488395.42    | 0.02%             | 2032-01-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 0.2% 10/18/2030 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    21745000 | PA      | $18865909.41   | 0.23%             | 2030-10-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 1.25% 03/01/2027                         | CUSIP: 135087M84<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    30500000 | PA      | $20598312.41   | 0.25%             | 2027-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 3.15% 06/20/2044 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     1080000 | PA      | $1148617.68    | 0.01%             | 2044-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/NOK settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-219589.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 2.5% 03/08/2036 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     3128000 | PA      | $3722950.91    | 0.05%             | 2036-03-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: AUD/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3011124.22    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 1.5% 12/01/2031                          | CUSIP: 135087N26<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    54493000 | PA      | $34669460.80   | 0.42%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 5.125% 03/30/2026 REGS                   | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |    12292000 | PA      | $14098766.31   | 0.17%             | 2026-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 2.875% 07/21/2026 144A REGS | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |     4950000 | PA      | $5299691.85    | 0.06%             | 2026-07-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 2.125% 07/28/2025 REGS                   | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |      261000 | PA      | $277486.47     | 0.00%             | 2025-07-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0.2% 06/14/2024 REGS              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    21870000 | PA      | $22624608.73   | 0.27%             | 2024-06-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.8% 03/20/2042                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 15650000000 | PA      | $109745565.38  | 1.33%             | 2042-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 1.75% 10/20/2023 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     8280000 | PA      | $8790398.53    | 0.11%             | 2023-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 2.875% 07/01/2029                       | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    22353000 | PA      | $16513583.32   | 0.20%             | 2029-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 1.8% 03/01/2041 144A REGS                   | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    28010000 | PA      | $19425703.19   | 0.24%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 1.1% 05/15/2029 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    57029000 | PA      | $54747895.09   | 0.66%             | 2029-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 4.75% 12/07/2030 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    22792000 | PA      | $29705763.33   | 0.36%             | 2030-12-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 2.125% 10/22/2035 REGS                  | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     6210000 | PA      | $5529319.43    | 0.07%             | 2035-10-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 1.75% 05/15/2041                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |     9264000 | PA      | $3775119.06    | 0.05%             | 2041-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/AUD settle 2023-02-01                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3102105.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 3.9% 03/20/2023 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |       98000 | PA      | $105161.33     | 0.00%             | 2023-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 1.5% 05/15/2031                     | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    16100000 | PA      | $8133557.87    | 0.10%             | 2031-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 2% 04/15/2024 144A REGS                   | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    16654000 | PA      | $17651115.81   | 0.21%             | 2024-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                    | FX Forward: USD/GBP settle 2023-01-04                         | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-200241.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 4% 04/08/2028 REGS                  | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     7110000 | PA      | $8669793.98    | 0.10%             | 2028-04-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 0.5% 05/25/2040 144A REGS                  | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    24343000 | PA      | $16526951.14   | 0.20%             | 2040-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0% 09/15/2026 144A REGS                   | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    17640000 | PA      | $17015046.33   | 0.21%             | 2026-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 2.5% 07/04/2044 REGS              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |       52000 | PA      | $55607.63      | 0.00%             | 2044-07-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.625% 07/31/2035 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     9055000 | PA      | $7370579.38    | 0.09%             | 2035-07-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 0.25% 11/21/2024 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    33023000 | PA      | $21201238.83   | 0.26%             | 2024-11-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 2.25% 06/01/2029                         | CUSIP: 135087J39<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      700000 | PA      | $487197.93     | 0.01%             | 2029-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 0.125% 07/01/2031 REGS                   | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     6660000 | PA      | $5229907.61    | 0.06%             | 2031-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 2.1% 09/20/2117 144A REGS                 | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     1020000 | PA      | $797351.87     | 0.01%             | 2117-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 2.22% 08/07/2024                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |     3250000 | PA      | $403715.40     | 0.00%             | 2024-08-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 4% 01/06/2049 REGS                  | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |    19826000 | PA      | $32535524.14   | 0.39%             | 2049-01-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 0.5% 12/01/2030                          | CUSIP: 135087L44<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    86362000 | PA      | $51473410.35   | 0.62%             | 2030-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0.75% 02/20/2028 144A REGS                | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    22997000 | PA      | $22130807.58   | 0.27%             | 2028-02-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 1.89% 03/02/2032                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |     9400000 | PA      | $1041479.16    | 0.01%             | 2032-03-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.005% 08/01/2023                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  2602500000 | PA      | $19837221.12   | 0.24%             | 2023-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 1.25% 06/27/2037 REGS               | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     6501000 | PA      | $6679792.44    | 0.08%             | 2037-06-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 2.5% 01/15/2033 144A REGS           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    11430000 | PA      | $11860291.97   | 0.14%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 0.875% 07/15/2030 REGS                   | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     8718000 | PA      | $7533684.75    | 0.09%             | 2030-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT 0.1% 09/20/2027                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |    30000000 | PA      | $227155.59     | 0.00%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 1% 06/01/2027                            | CUSIP: 135087F82<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     6319000 | PA      | $4225936.26    | 0.05%             | 2027-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 3.5% 12/01/2045                          | CUSIP: 135087ZS6<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     6319000 | PA      | $4799686.52    | 0.06%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                      | FX Forward: HKD/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-25165.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 1.59% 03/04/2036                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |    19200000 | PA      | $1879368.16    | 0.02%             | 2036-03-04      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PORTUGAL REPUBLIC OF                                  | PORTUGAL REPUBLIC OF 2.125% 10/17/2028 144A REGS              | CUSIP: N/A<br>LEI: 549300P6U1FJ3IMP7K42       | Long             | DBT              | NUSS              | PT        |    17585000 | PA      | $17950842.54   | 0.22%             | 2028-10-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 1.5% 02/20/2047 144A REGS                 | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     4482000 | PA      | $3530218.30    | 0.04%             | 2047-02-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 0.9% 10/12/2035 144A REGS   | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    20277000 | PA      | $15679571.67   | 0.19%             | 2035-10-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 3.25% 05/25/2045 REGS                      | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    14553000 | PA      | $15491332.12   | 0.19%             | 2045-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 4.125% 04/25/2028 REGS                  | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     5200000 | PA      | $5694365.80    | 0.07%             | 2028-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 0.95% 05/26/2027 REGS                   | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     1116000 | PA      | $1069410.86    | 0.01%             | 2027-05-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 1.4% 09/20/2052                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  2841600000 | PA      | $20696218.96   | 0.25%             | 2052-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2029 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    14992000 | PA      | $13664260.36   | 0.17%             | 2029-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 4.5% 04/21/2033 REGS                | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    40321000 | PA      | $28482572.73   | 0.34%             | 2033-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 1.75% 11/15/2025                           | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |   124198000 | PA      | $17400306.43   | 0.21%             | 2025-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 4% 01/04/2037 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     8010000 | PA      | $9996597.67    | 0.12%             | 2037-01-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 1.5% 07/24/2025 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |    12549000 | PA      | $13635408.32   | 0.17%             | 2025-07-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 2.75% 12/01/2064                         | CUSIP: 135087C93<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     5346000 | PA      | $3480151.24    | 0.04%             | 2064-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: NZD/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $65991.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 3% 08/01/2029 REGS                          | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    18611000 | PA      | $18642116.00   | 0.23%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 1.15% 04/11/2042 144A REGS  | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    12800000 | PA      | $8731446.53    | 0.11%             | 2042-04-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1% 07/30/2042 144A REGS                      | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    15660000 | PA      | $10227256.96   | 0.12%             | 2042-07-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SWEDEN KINGDOM OF                                     | SWEDEN KINGDOM OF 3.5% 03/30/2039 144A REGS                   | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |   108125000 | PA      | $12095356.55   | 0.15%             | 2039-03-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 2.75% 07/04/2028 144A REGS                | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    20413000 | PA      | $21719954.25   | 0.26%             | 2028-07-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 2.75% 11/21/2029 REGS               | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    52813000 | PA      | $33520156.57   | 0.41%             | 2029-11-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                     | EURO-BOBL FUTURE MAR23 OEH3                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         346 | NC      | $-1433033.75   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2030 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    31124000 | PA      | $27728211.47   | 0.34%             | 2030-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.8% 06/22/2025 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    51678000 | PA      | $52870861.79   | 0.64%             | 2025-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 1.25% 09/17/2031 144A REGS                  | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |    12161000 | PA      | $1061306.93    | 0.01%             | 2031-09-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT #1 2.4% 3/20/48                                    | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  7312900000 | PA      | $66398947.71   | 0.80%             | 2048-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NETHERLANDS GOVERNMENT OF                             | NETHERLANDS GOVERNMENT OF 2% 07/15/2024 144A REGS             | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |    25646000 | PA      | $27161042.08   | 0.33%             | 2024-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 1.6% 06/22/2047 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     9816000 | PA      | $7489100.01    | 0.09%             | 2047-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LATVIA, REPUBLIC OF                                   | LATVIA REPUBLIC OF 1.875% 02/19/2049 REGS                     | CUSIP: N/A<br>LEI: 25490002QDEB2KTLNK39       | Long             | DBT              | NUSS              | LV        |     3478000 | PA      | $2621940.42    | 0.03%             | 2049-02-19      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LATVIA, REPUBLIC OF                                   | LATVIA REPUBLIC OF 1.375% 09/23/2025 REGS                     | CUSIP: N/A<br>LEI: 25490002QDEB2KTLNK39       | Long             | DBT              | NUSS              | LV        |     1420000 | PA      | $1433443.28    | 0.02%             | 2025-09-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/SGD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7934812.07   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                 | CANADA GOVERNMENT OF 0.75% 02/01/2024                         | CUSIP: 135087M92<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    72400000 | PA      | $51436082.72   | 0.62%             | 2024-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0% 10/22/2031 144A REGS                    | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |      706000 | PA      | $578743.93     | 0.01%             | 2031-10-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/NZD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5465268.88   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 0% 10/18/2031 REGS                        | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    31431000 | PA      | $25931721.90   | 0.31%             | 2031-10-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.75% 07/22/2023 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     3120000 | PA      | $3719835.23    | 0.05%             | 2023-07-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/AUD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-137500.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0% 01/31/2028                                | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    10708000 | PA      | $9786578.82    | 0.12%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 1% 10/13/2051 REGS                         | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     4320000 | PA      | $2269177.15    | 0.03%             | 2051-10-13      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 1.5% 04/15/2023 144A REGS                 | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |       68000 | PA      | $72583.93      | 0.00%             | 2023-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 0.75% 07/15/2051 REGS                   | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     2250000 | PA      | $1197933.90    | 0.01%             | 2051-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 1.75% 05/25/2066 144A REGS                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     4410000 | PA      | $3220734.20    | 0.04%             | 2066-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.2% 03/20/2032                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 14730000000 | PA      | $109989013.26  | 1.33%             | 2032-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 0.6% 06/15/2023 REGS                        | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     2152000 | PA      | $2284995.24    | 0.03%             | 2023-06-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.4% 06/22/2040 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     6768000 | PA      | $4417389.80    | 0.05%             | 2040-06-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/JPY settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-121799335.40 | -1.47%            |  |  |  | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 2.1% 05/26/2047 REGS                    | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     3903000 | PA      | $3144703.03    | 0.04%             | 2047-05-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 3.5% 04/08/2033 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     5504000 | PA      | $7015047.86    | 0.08%             | 2033-04-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.1% 06/22/2030 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     9500000 | PA      | $8252264.13    | 0.10%             | 2030-06-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT #102 2.4% 6/20/28                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  4480650000 | PA      | $37989247.70   | 0.46%             | 2028-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 2% 10/17/2047 REGS                         | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     8534000 | PA      | $6397623.14    | 0.08%             | 2047-10-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 2.125% 10/29/2026 REGS                  | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     4140000 | PA      | $4271846.14    | 0.05%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 1.5% 02/19/2026 144A REGS                   | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |    76672000 | PA      | $7461683.23    | 0.09%             | 2026-02-19      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 4.25% 03/28/2041 144A REGS                 | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    28360000 | PA      | $33749431.98   | 0.41%             | 2041-03-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/SGD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-200362.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                   | FX Forward: USD/GBP settle 2023-01-04                         | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $117809.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GRAND DUCHY OF LUXEMBOURG                             | GRAND DUCHY OF LUXEMBOURG 0% 09/14/2032 REGS                  | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |     2297000 | PA      | $1842085.00    | 0.02%             | 2032-09-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.2% 06/20/2032                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  3220000000 | PA      | $24013338.92   | 0.29%             | 2032-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: EUR/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $639033.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GRAND DUCHY OF LUXEMBOURG                             | GRAND DUCHY OF LUXEMBOURG 2.125% 07/10/2023 REGS              | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |       56000 | PA      | $59844.49      | 0.00%             | 2023-07-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 2.75% 04/01/2042                        | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    36617000 | PA      | $27913832.95   | 0.34%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 2% 02/01/2024                           | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    28300000 | PA      | $20848019.24   | 0.25%             | 2024-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LATVIA, REPUBLIC OF                                   | LATVIA REPUBLIC OF 0.25% 01/23/2030 REGS                      | CUSIP: N/A<br>LEI: 25490002QDEB2KTLNK39       | Long             | DBT              | NUSS              | LV        |     2400000 | PA      | $2001955.58    | 0.02%             | 2030-01-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.005% 03/20/2026                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   676550000 | PA      | $5144388.46    | 0.06%             | 2026-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 1% 03/20/2052                             | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 10250000000 | PA      | $67609074.98   | 0.82%             | 2052-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 4% 02/01/2037 144A REGS                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |      137000 | PA      | $136966.84     | 0.00%             | 2037-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0% 09/15/2024 144A REGS                   | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |     7103000 | PA      | $7261526.77    | 0.09%             | 2024-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.005% 12/01/2024                         | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  2769200000 | PA      | $21092256.20   | 0.26%             | 2024-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1% 10/31/2050 144A REGS                      | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    15809000 | PA      | $8814718.89    | 0.11%             | 2050-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FINLAND REPUBLIC OF                                   | FINLAND REPUBLIC OF 0% 09/15/2030 144A REGS                   | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |    11605000 | PA      | $9873162.25    | 0.12%             | 2030-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 1.375% 01/21/2027 REGS                     | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |     3150000 | PA      | $3127380.31    | 0.04%             | 2027-01-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVT 2.3% 3/20/40                                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1641350000 | PA      | $14649961.72   | 0.18%             | 2040-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 7.25% 11/01/2026 REGS                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    19492000 | PA      | $23571429.24   | 0.29%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                     | ITALY REPUBLIC OF 3.25% 09/01/2046 144A REGS                  | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     9830000 | PA      | $8432140.00    | 0.10%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SINGAPORE REPUBLIC OF                                 | SINGAPORE REPUBLIC OF 3% 09/01/2024                           | CUSIP: N/A<br>LEI: 54930035WQZLGC45RZ35       | Long             | DBT              | NUSS              | SG        |    38900000 | PA      | $28990868.30   | 0.35%             | 2024-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0.25% 02/15/2027 REGS             | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     1710000 | PA      | $1673528.70    | 0.02%             | 2027-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0.6% 10/31/2029 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    19277000 | PA      | $17354336.93   | 0.21%             | 2029-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: USD/CHF settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-24584.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 0% 01/31/2025                                | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     7857000 | PA      | $7920612.51    | 0.10%             | 2025-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 0.125% 01/31/2024 REGS      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    15456000 | PA      | $17973612.42   | 0.22%             | 2024-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 1.75% 06/25/2039 144A REGS                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     6190000 | PA      | $5403983.53    | 0.07%             | 2039-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                            | AUSTRALIA COMMONWEALTH OF 1.25% 05/21/2032                    | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    53000000 | PA      | $28299700.56   | 0.34%             | 2032-05-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE REPUBLIC OF                                    | FRANCE REPUBLIC OF 2.75% 10/25/2027 REGS                      | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    40810000 | PA      | $43642340.37   | 0.53%             | 2027-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 0.6875% 03/03/2081 REGS                  | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     1748000 | PA      | $597948.28     | 0.01%             | 2081-03-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 6% 01/31/2029                                | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     6030000 | PA      | $7454044.43    | 0.09%             | 2029-01-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 3.625% 01/16/2029 REGS                     | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |    14171000 | PA      | $15281600.07   | 0.19%             | 2029-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 10/18/2024 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     1018000 | PA      | $1041171.16    | 0.01%             | 2024-10-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF                                    | BELGIUM KINGDOM OF 0.8% 06/22/2028 144A REGS                  | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    19086000 | PA      | $18432413.39   | 0.22%             | 2028-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                           | GERMANY FEDERAL REPUBLIC OF 0% 10/10/2025 REGS                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    39774000 | PA      | $39753284.18   | 0.48%             | 2025-10-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                   | JAPAN GOVERNMENT OF 0.7% 06/20/2051                           | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 10128150000 | PA      | $61919545.51   | 0.75%             | 2051-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0.9% 02/20/2032 144A REGS                 | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    36230000 | PA      | $32006962.38   | 0.39%             | 2032-02-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | FX Forward: SEK/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $323326.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 1.25% 07/31/2051 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    59140000 | PA      | $38615693.26   | 0.47%             | 2051-07-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 0.5% 05/27/2030 REGS                | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     9095000 | PA      | $9128915.06    | 0.11%             | 2030-05-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 1.68% 01/21/2026                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |    33050000 | PA      | $3964324.60    | 0.05%             | 2026-01-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0% 02/20/2030 144A REGS                   | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    26462000 | PA      | $22842116.28   | 0.28%             | 2030-02-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 4% 02/11/2023 REGS                  | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |       99000 | PA      | $107408.01     | 0.00%             | 2023-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0.5% 02/20/2029 144A REGS                 | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    26300000 | PA      | $24260198.73   | 0.29%             | 2029-02-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PORTUGAL OBRIGACOES DO TESOURO OT                     | PORTUGAL OBRIGACOES DO TESOURO OT 1.65% 07/16/2032 144A REGS  | CUSIP: N/A<br>LEI: 549300FLKF3NX2O0U724       | Long             | DBT              | NUSS              | PT        |    45340000 | PA      | $41288820.48   | 0.50%             | 2032-07-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 0.5% 05/15/2026                     | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    51379000 | PA      | $28412479.09   | 0.34%             | 2026-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                    | FX Forward: SGD/USD settle 2023-01-04                         | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $191794.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORWAY KINGDOM OF                                     | NORWAY KINGDOM OF 1.75% 02/17/2027 144A REGS                  | CUSIP: N/A<br>LEI: 549300O6E2WAK3IAXE34       | Long             | DBT              | NUSS              | NO        |   263382000 | PA      | $25537923.92   | 0.31%             | 2027-02-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SLOVAK, REPUBLIC OF                                   | SLOVAK REPUBLIC OF 1% 05/14/2032 REGS                         | CUSIP: N/A<br>LEI: 097900BHFM0000074794       | Long             | DBT              | NUSS              | SK        |    18381000 | PA      | $15639569.58   | 0.19%             | 2032-05-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 4.5% 11/15/2039                            | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |   302764000 | PA      | $54315482.43   | 0.66%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 2.75% 04/15/2037 REGS               | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    45131000 | PA      | $23051592.49   | 0.28%             | 2037-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HONG KONG GOV SPL ADMIN REGION PEOPLES REPUB OF CHINA | HONG KONG GOV SAR 0.51% 10/23/2023                            | CUSIP: N/A<br>LEI: 549300LPING1L7J52T50       | Long             | DBT              | NUSS              | HK        |    23200000 | PA      | $2883682.88    | 0.03%             | 2023-10-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LITHUANIA REPUBLIC OF                                 | LITHUANIA REPUBLIC OF 0.75% 05/06/2030 REGS                   | CUSIP: N/A<br>LEI: 529900F7Y171QF1RSU09       | Long             | DBT              | NUSS              | LT        |     5762000 | PA      | $5020311.87    | 0.06%             | 2030-05-06      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                     | UNITED KINGDOM G.B. and N.IRELAND 4.25% 06/07/2032 REGS       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     6000000 | PA      | $7588995.01    | 0.09%             | 2032-06-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND, GOVERNMENT OF                            | NEW ZEALAND GOVERNMENT OF 0.25% 05/15/2028                    | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    24200000 | PA      | $12294890.56   | 0.15%             | 2028-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF                                    | DENMARK KINGDOM OF 0.5% 11/15/2027                            | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |   169987000 | PA      | $22037179.72   | 0.27%             | 2027-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRIA REPUBLIC OF                                   | AUSTRIA REPUBLIC OF 0% 02/20/2031 144A REGS                   | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |    12003000 | PA      | $10040290.34   | 0.12%             | 2031-02-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SLOVENIA REPUBLIC OF                                  | SLOVENIA REPUBLIC OF 4.625% 09/09/2024 REGS                   | CUSIP: N/A<br>LEI: 485100000LWQHIX4XX88       | Long             | DBT              | NUSS              | SI        |     2655000 | PA      | $2947115.14    | 0.04%             | 2024-09-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPAIN, KINGDOM OF                                     | SPAIN KINGDOM OF 1.2% 10/31/2040 144A REGS                    | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |      600000 | PA      | $420291.21     | 0.01%             | 2040-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SWITZERLAND CONFEDERATION                             | SWITZERLAND CONFEDERATION 3.25% 06/27/2027 REGS               | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |    18987000 | PA      | $22152355.59   | 0.27%             | 2027-06-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LUXEMBOURG GRAND DUCHY OF                             | LUXEMBOURG GRAND DUCHY OF 0.625% 02/01/2027 REGS              | CUSIP: N/A<br>LEI: 22210065LIUFB00MNF63       | Long             | DBT              | NUSS              | LU        |     5651000 | PA      | $5495563.20    | 0.07%             | 2027-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IRELAND REPUBLIC OF                                   | IRELAND REPUBLIC OF 3.4% 03/18/2024 REGS                      | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |    17267000 | PA      | $18631327.77   | 0.23%             | 2024-03-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer