# EDGAR Filing Document

**Accession Number:** 0000836906
**File Stem:** 0001752724-23-050289
**Filing Date:** 2023-3
**Character Count:** 186225
**Document Hash:** 78b4b30cfc4e1afeee61d6fd0a1c86d3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-050289.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-050289

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD MALVERN FUNDS
- **CENTRAL INDEX KEY:** 0000836906
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05628
- **FILM NUMBER:** 23693877

**BUSINESS ADDRESS:**
- **STREET 1:** P.O. BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** P.O. BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD ASSET ALLOCATION FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Vanguard Emerging Markets Bond Fund (Series ID: S000053069)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000166997 | Admiral Shares  | VEGBX           |
| C000166998 | Investor Shares | VEMBX           |

## Nport-Ex

Vanguard<sup>®</sup> Emerging Markets Bond Fund

#### Schedule of Investments (unaudited)
As of December 31, 2022

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's website at www.sec.gov.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **U.S. Government and Agency Obligations (9.2%)** | **U.S. Government and Agency Obligations (9.2%)** | **U.S. Government and Agency Obligations (9.2%)** | **U.S. Government and Agency Obligations (9.2%)** |  |  |
| <sup>1,2</sup> | United States Treasury Note/Bond | 2.750% | 8/15/32 | 52000 | &nbsp;&nbsp;&nbsp;&nbsp;47296 |
|  | United States Treasury Note/Bond | 4.125% | 11/15/32 | 132360 | &nbsp;&nbsp;135007 |
|  | United States Treasury Note/Bond | 2.875% | 5/15/52 | 22400 | &nbsp;&nbsp;&nbsp;&nbsp;17990 |
| <sup>2,3</sup> | United States Treasury Note/Bond | 3.000% | 8/15/52 | 5075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4201 |
| **Total U.S. Government and Agency Obligations (Cost $205,823)** | **Total U.S. Government and Agency Obligations (Cost $205,823)** | **Total U.S. Government and Agency Obligations (Cost $205,823)** | **Total U.S. Government and Agency Obligations (Cost $205,823)** |  | **204494** |
| **Corporate Bonds (22.8%)** | **Corporate Bonds (22.8%)** | **Corporate Bonds (22.8%)** | **Corporate Bonds (22.8%)** |  |  |
| **Azerbaijan (1.1%)** | **Azerbaijan (1.1%)** | **Azerbaijan (1.1%)** | **Azerbaijan (1.1%)** |  |  |
| <sup>4</sup> | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 23215 | &nbsp;&nbsp;&nbsp;&nbsp;23756 |
|  | State Oil Co. of The Azerbaijan Republic | 6.950% | 3/18/30 | 1335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1381 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**25137** |
| **Brazil (1.2%)** | **Brazil (1.2%)** | **Brazil (1.2%)** | **Brazil (1.2%)** |  |  |
|  | Embraer Netherlands Finance BV | 6.950% | 1/17/28 | 17258 | &nbsp;&nbsp;&nbsp;&nbsp;17224 |
| <sup>5</sup> | Globo Comunicacao e Participacoes SA | 5.500% | 1/14/32 | 11870 | &nbsp;&nbsp;&nbsp;&nbsp;10145 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**27369** |
| **Chile (2.1%)** | **Chile (2.1%)** | **Chile (2.1%)** | **Chile (2.1%)** |  |  |
|  | Antofagasta plc | 2.375% | 10/14/30 | 2480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1990 |
| <sup>5</sup> | Antofagasta plc | 5.625% | 5/13/32 | 11225 | &nbsp;&nbsp;&nbsp;&nbsp;11102 |
| <sup>5</sup> | Empresa de los Ferrocarriles del Estado | 3.830% | 9/14/61 | 4356 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3033 |
|  | Empresa Nacional del Petroleo | 4.375% | 10/30/24 | 7709 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7510 |
|  | Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 15771 | &nbsp;&nbsp;&nbsp;&nbsp;14777 |
|  | Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 3418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3309 |
|  | Inversiones CMPC SA | 4.750% | 9/15/24 | 3980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3925 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**45646** |
| **Colombia (1.7%)** | **Colombia (1.7%)** | **Colombia (1.7%)** | **Colombia (1.7%)** |  |  |
|  | Ecopetrol SA | 5.875% | 9/18/23 | 37583 | &nbsp;&nbsp;&nbsp;&nbsp;37370 |
| **Ghana (0.0%)** | **Ghana (0.0%)** | **Ghana (0.0%)** | **Ghana (0.0%)** |  |  |
|  | Tullow Oil plc | 7.000% | 3/1/25 | 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;482 |
| **India (0.9%)** | **India (0.9%)** | **India (0.9%)** | **India (0.9%)** |  |  |
|  | Adani Ports & Special Economic Zone Ltd. | 4.200% | 8/4/27 | 2343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2062 |
|  | Adani Ports & Special Economic Zone Ltd. | 4.375% | 7/3/29 | 4714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3950 |
|  | Adani Ports & Special Economic Zone Ltd. | 3.100% | 2/2/31 | 3643 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2672 |
|  | Adani Ports & Special Economic Zone Ltd. | 3.828% | 2/2/32 | 4893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3691 |
| <sup>5</sup> | JSW Infrastructure Ltd. | 4.950% | 1/21/29 | 5325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4557 |
|  | Network i2i Ltd. | 5.650% | Perpetual | 2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2285 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**19217** |
| **Indonesia (2.7%)** | **Indonesia (2.7%)** | **Indonesia (2.7%)** | **Indonesia (2.7%)** |  |  |
|  | Freeport Indonesia PT | 5.315% | 4/14/32 | 4704 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4337 |
| <sup>5</sup> | Freeport Indonesia PT | 6.200% | 4/14/52 | 8535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7450 |
|  | Indonesia Asahan Aluminium Persero PT | 4.750% | 5/15/25 | 3270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3208 |
|  | Indonesia Asahan Aluminium Persero PT | 5.450% | 5/15/30 | 4100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3919 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
|  | Indonesia Asahan Aluminium Persero PT | 5.800% | 5/15/50 | 9856 | &nbsp;&nbsp;&nbsp;&nbsp;8269 |
|  | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 4.125% | 5/15/27 | 6497 | &nbsp;&nbsp;&nbsp;&nbsp;6148 |
|  | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.450% | 5/21/28 | 19998 | &nbsp;&nbsp;&nbsp;&nbsp;19711 |
|  | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 3.875% | 7/17/29 | 3000 | &nbsp;&nbsp;&nbsp;&nbsp;2662 |
| <sup>5,6</sup> | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 1.875% | 11/5/31 | 4400 | &nbsp;&nbsp;&nbsp;&nbsp;3400 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**59104** |
| **Kazakhstan (1.1%)** | **Kazakhstan (1.1%)** | **Kazakhstan (1.1%)** | **Kazakhstan (1.1%)** |  |  |
| <sup>7</sup> | Kazakhstan Temir Zholy National Co. JSC | 3.250% | 12/5/23 | 1750 | &nbsp;&nbsp;&nbsp;&nbsp;1821 |
|  | KazMunayGas National Co. JSC | 5.375% | 4/24/30 | 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;357 |
|  | KazMunayGas National Co. JSC | 5.750% | 4/19/47 | 1840 | &nbsp;&nbsp;&nbsp;&nbsp;1427 |
|  | KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 13500 | &nbsp;&nbsp;&nbsp;&nbsp;11070 |
|  | KazTransGas JSC | 4.375% | 9/26/27 | 11599 | &nbsp;&nbsp;&nbsp;&nbsp;10359 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;**25034** |
| **Malaysia (1.7%)** | **Malaysia (1.7%)** | **Malaysia (1.7%)** | **Malaysia (1.7%)** |  |  |
|  | Petronas Capital Ltd. | 3.500% | 4/21/30 | 41486 | &nbsp;&nbsp;&nbsp;&nbsp;37824 |
| **Mauritius (0.1%)** | **Mauritius (0.1%)** | **Mauritius (0.1%)** | **Mauritius (0.1%)** |  |  |
| <sup>5</sup> | Axian Telecom Co. | 7.375% | 2/16/27 | 3071 | &nbsp;&nbsp;&nbsp;&nbsp;2679 |
| **Mexico (5.0%)** | **Mexico (5.0%)** | **Mexico (5.0%)** | **Mexico (5.0%)** |  |  |
| <sup>5</sup> | CIBANCO SA Institucion de Banca Multiple Trust CIB | 4.375% | 7/22/31 | 8565 | &nbsp;&nbsp;&nbsp;&nbsp;6267 |
|  | Comision Federal de Electricidad | 4.688% | 5/15/29 | 7300 | &nbsp;&nbsp;&nbsp;&nbsp;6455 |
|  | Petroleos Mexicanos | 3.500% | 1/30/23 | 7850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7825 |
|  | Petroleos Mexicanos | 4.625% | 9/21/23 | 2716 | &nbsp;&nbsp;&nbsp;&nbsp;2670 |
|  | Petroleos Mexicanos | 6.490% | 1/23/27 | 26768 | &nbsp;&nbsp;&nbsp;24466 |
|  | Petroleos Mexicanos | 6.500% | 3/13/27 | 6145 | &nbsp;&nbsp;&nbsp;&nbsp;5609 |
|  | Petroleos Mexicanos | 5.950% | 1/28/31 | 7640 | &nbsp;&nbsp;&nbsp;&nbsp;5797 |
|  | Petroleos Mexicanos | 6.625% | 6/15/35 | 6550 | &nbsp;&nbsp;&nbsp;&nbsp;4767 |
|  | Petroleos Mexicanos | 6.500% | 6/2/41 | 4000 | &nbsp;&nbsp;&nbsp;&nbsp;2596 |
|  | Petroleos Mexicanos | 6.375% | 1/23/45 | 2137 | &nbsp;&nbsp;&nbsp;&nbsp;1323 |
|  | Petroleos Mexicanos | 5.625% | 1/23/46 | 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
|  | Petroleos Mexicanos | 6.750% | 9/21/47 | 32907 | &nbsp;&nbsp;&nbsp;21062 |
|  | Petroleos Mexicanos | 6.350% | 2/12/48 | 10894 | &nbsp;&nbsp;&nbsp;&nbsp;6685 |
|  | Petroleos Mexicanos | 7.690% | 1/23/50 | 9453 | &nbsp;&nbsp;&nbsp;&nbsp;6550 |
|  | Petroleos Mexicanos | 6.950% | 1/28/60 | 7945 | &nbsp;&nbsp;&nbsp;&nbsp;5029 |
| <sup>8</sup> | Petroleos Mexicanos | 6.700% | 2/16/32 | 4278 | &nbsp;&nbsp;&nbsp;&nbsp;3368 |
|  |  |  |  |  | &nbsp;&nbsp;**110470** |
| **Peru (0.9%)** | **Peru (0.9%)** | **Peru (0.9%)** | **Peru (0.9%)** |  |  |
| <sup>5</sup> | Petroleos del Peru SA | 5.625% | 6/19/47 | 8750 | &nbsp;&nbsp;&nbsp;&nbsp;5693 |
|  | Petroleos del Peru SA | 5.625% | 6/19/47 | 21928 | &nbsp;&nbsp;&nbsp;&nbsp;14288 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**19981** |
| **Qatar (0.3%)** | **Qatar (0.3%)** | **Qatar (0.3%)** | **Qatar (0.3%)** |  |  |
|  | QatarEnergy Trading LLC | 3.300% | 7/12/51 | 9825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7222 |
| **Saudi Arabia (0.5%)** | **Saudi Arabia (0.5%)** | **Saudi Arabia (0.5%)** | **Saudi Arabia (0.5%)** |  |  |
|  | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 10280 | &nbsp;&nbsp;&nbsp;&nbsp;9963 |
| **South Africa (1.6%)** | **South Africa (1.6%)** | **South Africa (1.6%)** | **South Africa (1.6%)** |  |  |
|  | Eskom Holdings SOC Ltd. | 6.750% | 8/6/23 | 15667 | &nbsp;&nbsp;&nbsp;&nbsp;15056 |
|  | Eskom Holdings SOC Ltd. | 7.125% | 2/11/25 | 22247 | &nbsp;&nbsp;&nbsp;&nbsp;20215 |
|  | Eskom Holdings SOC Ltd. | 8.450% | 8/10/28 | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;876 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;**36147** |
| **Thailand (0.4%)** | **Thailand (0.4%)** | **Thailand (0.4%)** | **Thailand (0.4%)** |  |  |
|  | GC Treasury Center Co. Ltd. | 4.400% | 3/30/32 | 2100 | &nbsp;&nbsp;&nbsp;&nbsp;1850 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
|  | GC Treasury Center Co. Ltd. | 4.300% | 3/18/51 | 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2422 |
|  | Thaioil Treasury Center Co. Ltd. | 5.375% | 11/20/48 | 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3987 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**8259** |
| **United Arab Emirates (0.7%)** | **United Arab Emirates (0.7%)** | **United Arab Emirates (0.7%)** | **United Arab Emirates (0.7%)** |  |  |
|  | Galaxy Pipeline Assets Bidco Ltd. | 2.625% | 3/31/36 | 20010 | &nbsp;&nbsp;&nbsp;&nbsp;16091 |
| **United States (0.8%)** | **United States (0.8%)** | **United States (0.8%)** | **United States (0.8%)** |  |  |
| <sup>5</sup> | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance Inc. | 5.750% | 4/1/33 | 19341 | &nbsp;&nbsp;&nbsp;&nbsp;18478 |
| **Venezuela (0.0%)** | **Venezuela (0.0%)** | **Venezuela (0.0%)** | **Venezuela (0.0%)** |  |  |
| <sup>8,9</sup> | Petroleos de Venezuela SA | 6.000% | 11/15/26 | 2850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135 |
| <sup>9</sup> | Petroleos de Venezuela SA | 5.375% | 4/12/27 | 462 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**156** |
| **Total Corporate Bonds (Cost $567,558)** | **Total Corporate Bonds (Cost $567,558)** | **Total Corporate Bonds (Cost $567,558)** | **Total Corporate Bonds (Cost $567,558)** |  | **506629** |
| **Sovereign Bonds (61.8%)** | **Sovereign Bonds (61.8%)** | **Sovereign Bonds (61.8%)** | **Sovereign Bonds (61.8%)** |  |  |
| **Angola (0.8%)** | **Angola (0.8%)** | **Angola (0.8%)** | **Angola (0.8%)** |  |  |
| <sup>5</sup> | Republic of Angola | 8.750% | 4/14/32 | 12500 | &nbsp;&nbsp;&nbsp;&nbsp;10820 |
|  | Republic of Angola | 9.375% | 5/8/48 | 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1584 |
|  | Republic of Angola | 9.125% | 11/26/49 | 6112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4776 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**17180** |
| **Argentina (1.2%)** | **Argentina (1.2%)** | **Argentina (1.2%)** | **Argentina (1.2%)** |  |  |
|  | Republic of Argentina | 1.000% | 7/9/29 | 926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;247 |
| <sup>10</sup> | Republic of Argentina, 0.750% coupon rate effective 7/9/23 | 0.500% | 7/9/30 | 47788 | &nbsp;&nbsp;&nbsp;&nbsp;12938 |
| <sup>10</sup> | Republic of Argentina, 3.625% coupon rate effective 7/9/23 | 1.500% | 7/9/35 | 41371 | &nbsp;&nbsp;&nbsp;&nbsp;10537 |
| <sup>10</sup> | Republic of Argentina, 4.875% coupon rate effective 7/9/29 | 3.500% | 7/9/41 | 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2251 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**25973** |
| **Azerbaijan (0.5%)** | **Azerbaijan (0.5%)** | **Azerbaijan (0.5%)** | **Azerbaijan (0.5%)** |  |  |
|  | Republic of Azerbaijan | 4.750% | 3/18/24 | 1516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 |
| <sup>8</sup> | Republic of Azerbaijan | 3.500% | 9/1/32 | 10500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8740 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**10240** |
| **Bahrain (0.7%)** | **Bahrain (0.7%)** | **Bahrain (0.7%)** | **Bahrain (0.7%)** |  |  |
|  | Kingdom of Bahrain | 6.250% | 1/25/51 | 19637 | &nbsp;&nbsp;&nbsp;&nbsp;15449 |
| **Belarus (0.0%)** | **Belarus (0.0%)** | **Belarus (0.0%)** | **Belarus (0.0%)** |  |  |
|  | Republic of Belarus | 6.200% | 2/28/30 | 960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;327 |
|  | Republic of Belarus | 6.378% | 2/24/31 | 1343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;455 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**782** |
| **Bermuda (1.2%)** | **Bermuda (1.2%)** | **Bermuda (1.2%)** | **Bermuda (1.2%)** |  |  |
| <sup>5</sup> | Government of Bermuda | 5.000% | 7/15/32 | 22190 | &nbsp;&nbsp;&nbsp;&nbsp;22182 |
|  | Government of Bermuda | 5.000% | 7/15/32 | 3480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3462 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**25644** |
| **Brazil (0.2%)** | **Brazil (0.2%)** | **Brazil (0.2%)** | **Brazil (0.2%)** |  |  |
|  | Federative Republic of Brazil | 4.750% | 1/14/50 | 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3490 |
| **Cameroon (0.2%)** | **Cameroon (0.2%)** | **Cameroon (0.2%)** | **Cameroon (0.2%)** |  |  |
| <sup>5,6</sup> | Republic of Cameroon | 5.950% | 7/7/32 | 6192 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4892 |
| **Colombia (1.5%)** | **Colombia (1.5%)** | **Colombia (1.5%)** | **Colombia (1.5%)** |  |  |
|  | Republic of Colombia | 5.000% | 6/15/45 | 32587 | &nbsp;&nbsp;&nbsp;&nbsp;22349 |
|  | Republic of Colombia | 5.200% | 5/15/49 | 14849 | &nbsp;&nbsp;&nbsp;&nbsp;10154 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**32503** |
| **Croatia (1.2%)** | **Croatia (1.2%)** | **Croatia (1.2%)** | **Croatia (1.2%)** |  |  |
|  | Republic of Croatia | 5.500% | 4/4/23 | 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7998 |

---

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>6</sup> | Republic of Croatia | 1.125% | 6/19/29 | 3000 | &nbsp;&nbsp;&nbsp;&nbsp;2719 |
| <sup>6</sup> | Republic of Croatia | 2.750% | 1/27/30 | 4616 | &nbsp;&nbsp;&nbsp;&nbsp;4594 |
| <sup>6</sup> | Republic of Croatia | 1.500% | 6/17/31 | 14019 | &nbsp;&nbsp;12394 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;**27705** |
| **Dominican Republic (3.3%)** | **Dominican Republic (3.3%)** | **Dominican Republic (3.3%)** | **Dominican Republic (3.3%)** |  |  |
|  | Dominican Republic | 6.875% | 1/29/26 | 6000 | &nbsp;&nbsp;&nbsp;&nbsp;6064 |
|  | Dominican Republic | 5.950% | 1/25/27 | 3110 | &nbsp;&nbsp;&nbsp;&nbsp;3046 |
| <sup>5</sup> | Dominican Republic | 5.500% | 2/22/29 | 33445 | &nbsp;&nbsp;&nbsp;30774 |
|  | Dominican Republic | 4.500% | 1/30/30 | 13209 | &nbsp;&nbsp;&nbsp;11262 |
|  | Dominican Republic | 5.875% | 1/30/60 | 29567 | &nbsp;&nbsp;21717 |
|  |  |  |  |  | &nbsp;&nbsp;**72863** |
| **Ecuador (1.8%)** | **Ecuador (1.8%)** | **Ecuador (1.8%)** | **Ecuador (1.8%)** |  |  |
| <sup>10</sup> | Republic of Ecuador, 3.500% coupon rate effective 7/31/23 | 2.500% | 7/31/35 | 36245 | &nbsp;&nbsp;16729 |
| <sup>10</sup> | Republic of Ecuador, 6.000% coupon rate effective 7/31/23 | 5.500% | 7/31/30 | 35370 | &nbsp;&nbsp;22727 |
|  |  |  |  |  | &nbsp;&nbsp;**39456** |
| **Egypt (3.3%)** | **Egypt (3.3%)** | **Egypt (3.3%)** | **Egypt (3.3%)** |  |  |
|  | Arab Republic of Egypt | 8.500% | 1/31/47 | 24784 | &nbsp;&nbsp;&nbsp;16517 |
|  | Arab Republic of Egypt | 7.903% | 2/21/48 | 23231 | &nbsp;&nbsp;14683 |
|  | Arab Republic of Egypt | 8.700% | 3/1/49 | 20457 | &nbsp;&nbsp;13654 |
|  | Arab Republic of Egypt | 8.875% | 5/29/50 | 6463 | &nbsp;&nbsp;&nbsp;&nbsp;4370 |
|  | Arab Republic of Egypt | 8.750% | 9/30/51 | 18198 | &nbsp;&nbsp;12222 |
|  | Arab Republic of Egypt | 8.150% | 11/20/59 | 16204 | &nbsp;&nbsp;10586 |
|  | Arab Republic of Egypt | 7.500% | 2/16/61 | 2300 | &nbsp;&nbsp;&nbsp;&nbsp;1420 |
|  |  |  |  |  | &nbsp;&nbsp;**73452** |
| **El Salvador (1.0%)** | **El Salvador (1.0%)** | **El Salvador (1.0%)** | **El Salvador (1.0%)** |  |  |
|  | Republic of El Salvador | 8.625% | 2/28/29 | 14836 | &nbsp;&nbsp;&nbsp;&nbsp;6499 |
|  | Republic of El Salvador | 8.250% | 4/10/32 | 8500 | &nbsp;&nbsp;&nbsp;&nbsp;3710 |
|  | Republic of El Salvador | 7.125% | 1/20/50 | 21740 | &nbsp;&nbsp;&nbsp;&nbsp;8439 |
|  | Republic of El Salvador | 9.500% | 7/15/52 | 6855 | &nbsp;&nbsp;&nbsp;&nbsp;3005 |
|  |  |  |  |  | &nbsp;&nbsp;**21653** |
| **Gabon (0.7%)** | **Gabon (0.7%)** | **Gabon (0.7%)** | **Gabon (0.7%)** |  |  |
|  | Republic of Gabon | 6.950% | 6/16/25 | 7500 | &nbsp;&nbsp;&nbsp;&nbsp;7099 |
| <sup>8</sup> | Republic of Gabon | 6.625% | 2/6/31 | 7000 | &nbsp;&nbsp;&nbsp;&nbsp;5722 |
|  | Republic of Gabon | 7.000% | 11/24/31 | 4678 | &nbsp;&nbsp;&nbsp;&nbsp;3829 |
|  |  |  |  |  | &nbsp;&nbsp;**16650** |
| **Georgia (0.2%)** | **Georgia (0.2%)** | **Georgia (0.2%)** | **Georgia (0.2%)** |  |  |
|  | Republic of Georgia | 2.750% | 4/22/26 | 5000 | &nbsp;&nbsp;&nbsp;&nbsp;4505 |
| **Guatemala (0.4%)** | **Guatemala (0.4%)** | **Guatemala (0.4%)** | **Guatemala (0.4%)** |  |  |
|  | Republic of Guatemala | 4.500% | 5/3/26 | 6584 | &nbsp;&nbsp;&nbsp;&nbsp;6328 |
|  | Republic of Guatemala | 4.650% | 10/7/41 | 3000 | &nbsp;&nbsp;&nbsp;&nbsp;2407 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**8735** |
| **Honduras (0.6%)** | **Honduras (0.6%)** | **Honduras (0.6%)** | **Honduras (0.6%)** |  |  |
| <sup>8</sup> | Republic of Honduras | 7.500% | 3/15/24 | 12689 | &nbsp;&nbsp;12618 |
| **Hungary (0.7%)** | **Hungary (0.7%)** | **Hungary (0.7%)** | **Hungary (0.7%)** |  |  |
|  | Republic of Hungary | 5.375% | 2/21/23 | 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
|  | Republic of Hungary | 5.375% | 3/25/24 | 3970 | &nbsp;&nbsp;&nbsp;&nbsp;3966 |
| <sup>6</sup> | Republic of Hungary | 1.625% | 4/28/32 | 6800 | &nbsp;&nbsp;&nbsp;&nbsp;5195 |
|  | Republic of Hungary | 3.125% | 9/21/51 | 8905 | &nbsp;&nbsp;&nbsp;&nbsp;5359 |
|  |  |  |  |  | &nbsp;&nbsp;**14521** |
| **India (0.1%)** | **India (0.1%)** | **India (0.1%)** | **India (0.1%)** |  |  |
|  | Export-Import Bank of India | 3.250% | 1/15/30 | 3000 | &nbsp;&nbsp;&nbsp;&nbsp;2608 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **Indonesia (2.8%)** | **Indonesia (2.8%)** | **Indonesia (2.8%)** | **Indonesia (2.8%)** |  |  |
| <sup>5</sup> | Perusahaan Penerbit SBSN Indonesia III | 4.400% | 6/6/27 | 2840 | &nbsp;&nbsp;&nbsp;&nbsp;2813 |
|  | Republic of Indonesia | 4.150% | 9/20/27 | 43926 | &nbsp;&nbsp;43167 |
|  | Republic of Indonesia | 6.625% | 2/17/37 | 15123 | &nbsp;&nbsp;&nbsp;17078 |
|  |  |  |  |  | &nbsp;&nbsp;**63058** |
| **Ivory Coast (0.5%)** | **Ivory Coast (0.5%)** | **Ivory Coast (0.5%)** | **Ivory Coast (0.5%)** |  |  |
| <sup>6</sup> | Republic of Cote d'Ivoire | 6.875% | 10/17/40 | 2815 | &nbsp;&nbsp;&nbsp;&nbsp;2255 |
| <sup>5,6,8</sup> | Republic of Cote d'Ivoire | 6.625% | 3/22/48 | 10599 | &nbsp;&nbsp;&nbsp;&nbsp;7963 |
|  |  |  |  |  | &nbsp;&nbsp;**10218** |
| **Jordan (0.8%)** | **Jordan (0.8%)** | **Jordan (0.8%)** | **Jordan (0.8%)** |  |  |
| <sup>5</sup> | Kingdom of Jordan | 7.750% | 1/15/28 | 18000 | &nbsp;&nbsp;18216 |
| **Kazakhstan (0.4%)** | **Kazakhstan (0.4%)** | **Kazakhstan (0.4%)** | **Kazakhstan (0.4%)** |  |  |
| <sup>5,11</sup> | Development Bank of Kazakhstan JSC | 10.950% | 5/6/26 | 3450000 | &nbsp;&nbsp;&nbsp;&nbsp;6331 |
|  | Republic of Kazakhstan | 4.875% | 10/14/44 | 2363 | &nbsp;&nbsp;&nbsp;&nbsp;2107 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**8438** |
| **Kenya (0.7%)** | **Kenya (0.7%)** | **Kenya (0.7%)** | **Kenya (0.7%)** |  |  |
|  | Republic of Kenya | 7.000% | 5/22/27 | 11068 | &nbsp;&nbsp;&nbsp;&nbsp;9898 |
|  | Republic of Kenya | 7.250% | 2/28/28 | 7000 | &nbsp;&nbsp;&nbsp;&nbsp;6135 |
|  |  |  |  |  | &nbsp;&nbsp;**16033** |
| **Lebanon (0.1%)** | **Lebanon (0.1%)** | **Lebanon (0.1%)** | **Lebanon (0.1%)** |  |  |
| <sup>9</sup> | Lebanon Republic | 8.250% | 4/12/21 | 2430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;286 |
| <sup>9</sup> | Lebanon Republic | 6.100% | 10/4/22 | 2250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 |
| <sup>9</sup> | Lebanon Republic | 6.650% | 4/22/24 | 2890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162 |
| <sup>9</sup> | Lebanon Republic | 7.000% | 3/20/28 | 6310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;370 |
| <sup>9</sup> | Lebanon Republic | 6.650% | 2/26/30 | 4900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;281 |
| <sup>9</sup> | Lebanon Republic | 7.150% | 11/20/31 | 1445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84 |
| <sup>9</sup> | Lebanon Republic | 8.200% | 5/17/33 | 1445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84 |
| <sup>9</sup> | Lebanon Republic | 8.250% | 5/17/34 | 1445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**1484** |
| **Mexico (3.7%)** | **Mexico (3.7%)** | **Mexico (3.7%)** | **Mexico (3.7%)** |  |  |
| <sup>12</sup> | Mexican Bonos | 7.500% | 6/3/27 | 445000 | &nbsp;&nbsp;21532 |
| <sup>12</sup> | Mexican Bonos | 7.750% | 11/13/42 | 796000 | &nbsp;&nbsp;35573 |
|  | United Mexican States | 4.400% | 2/12/52 | 31396 | &nbsp;&nbsp;23093 |
|  | United Mexican States | 5.750% | 10/12/10 | 3520 | &nbsp;&nbsp;&nbsp;&nbsp;2967 |
|  |  |  |  |  | &nbsp;&nbsp;**83165** |
| **Mongolia (0.3%)** | **Mongolia (0.3%)** | **Mongolia (0.3%)** | **Mongolia (0.3%)** |  |  |
|  | Mongolia | 5.625% | 5/1/23 | 6263 | &nbsp;&nbsp;&nbsp;&nbsp;6095 |
| **Morocco (0.9%)** | **Morocco (0.9%)** | **Morocco (0.9%)** | **Morocco (0.9%)** |  |  |
| <sup>5,6</sup> | Kingdom of Morocco | 2.000% | 9/30/30 | 10430 | &nbsp;&nbsp;&nbsp;&nbsp;8804 |
|  | Kingdom of Morocco | 4.000% | 12/15/50 | 16713 | &nbsp;&nbsp;&nbsp;11403 |
|  |  |  |  |  | &nbsp;&nbsp;**20207** |
| **Namibia (0.2%)** | **Namibia (0.2%)** | **Namibia (0.2%)** | **Namibia (0.2%)** |  |  |
|  | Republic of Namibia | 5.250% | 10/29/25 | 4402 | &nbsp;&nbsp;&nbsp;&nbsp;4123 |
| **Nigeria (2.2%)** | **Nigeria (2.2%)** | **Nigeria (2.2%)** | **Nigeria (2.2%)** |  |  |
|  | Republic of Nigeria | 6.500% | 11/28/27 | 7790 | &nbsp;&nbsp;&nbsp;&nbsp;6293 |
|  | Republic of Nigeria | 6.125% | 9/28/28 | 10164 | &nbsp;&nbsp;&nbsp;&nbsp;7850 |
| <sup>5</sup> | Republic of Nigeria | 8.375% | 3/24/29 | 12408 | &nbsp;&nbsp;10269 |
|  | Republic of Nigeria | 7.875% | 2/16/32 | 10532 | &nbsp;&nbsp;&nbsp;&nbsp;7954 |
| <sup>5</sup> | Republic of Nigeria | 8.250% | 9/28/51 | 20202 | &nbsp;&nbsp;13443 |
|  | Republic of Nigeria | 8.250% | 9/28/51 | 4600 | &nbsp;&nbsp;&nbsp;&nbsp;3064 |
|  |  |  |  |  | &nbsp;&nbsp;**48873** |
| **North Macedonia (0.1%)** | **North Macedonia (0.1%)** | **North Macedonia (0.1%)** | **North Macedonia (0.1%)** |  |  |
| <sup>6</sup> | North Macedonia | 2.750% | 1/18/25 | 869 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;866 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>5,6</sup> | North Macedonia | 1.625% | 3/10/28 | 1114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;932 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**1798** |
| **Oman (1.4%)** | **Oman (1.4%)** | **Oman (1.4%)** | **Oman (1.4%)** |  |  |
|  | Sultanate of Oman | 6.500% | 3/8/47 | 11031 | &nbsp;&nbsp;10035 |
| <sup>5</sup> | Sultanate of Oman | 7.000% | 1/25/51 | 9512 | &nbsp;&nbsp;&nbsp;&nbsp;9221 |
|  | Sultanate of Oman | 7.000% | 1/25/51 | 11613 | &nbsp;&nbsp;&nbsp;11214 |
|  |  |  |  |  | &nbsp;&nbsp;**30470** |
| **Pakistan (0.5%)** | **Pakistan (0.5%)** | **Pakistan (0.5%)** | **Pakistan (0.5%)** |  |  |
|  | Islamic Republic of Pakistan | 8.875% | 4/8/51 | 31846 | &nbsp;&nbsp;10986 |
| **Panama (2.5%)** | **Panama (2.5%)** | **Panama (2.5%)** | **Panama (2.5%)** |  |  |
|  | Republic of Panama | 3.750% | 3/16/25 | 6568 | &nbsp;&nbsp;&nbsp;&nbsp;6352 |
|  | Republic of Panama | 6.400% | 2/14/35 | 9460 | &nbsp;&nbsp;&nbsp;&nbsp;9624 |
|  | Republic of Panama | 4.500% | 4/1/56 | 4000 | &nbsp;&nbsp;&nbsp;&nbsp;2939 |
| <sup>8</sup> | Republic of Panama | 3.870% | 7/23/60 | 48186 | &nbsp;&nbsp;31179 |
|  | Republic of Panama | 4.500% | 1/19/63 | 8617 | &nbsp;&nbsp;&nbsp;&nbsp;6101 |
|  |  |  |  |  | &nbsp;&nbsp;**56195** |
| **Paraguay (1.0%)** | **Paraguay (1.0%)** | **Paraguay (1.0%)** | **Paraguay (1.0%)** |  |  |
|  | Republic of Paraguay | 4.625% | 1/25/23 | 20659 | &nbsp;&nbsp;20654 |
| <sup>8</sup> | Republic of Paraguay | 5.400% | 3/30/50 | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865 |
|  |  |  |  |  | &nbsp;&nbsp;**21519** |
| **Peru (3.4%)** | **Peru (3.4%)** | **Peru (3.4%)** | **Peru (3.4%)** |  |  |
|  | Corp. Financiera de Desarrollo SA | 4.750% | 7/15/25 | 203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;197 |
| <sup>5</sup> | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 1903 | &nbsp;&nbsp;&nbsp;&nbsp;1590 |
| <sup>5</sup> | Fondo MIVIVIENDA SA | 4.625% | 4/12/27 | 4356 | &nbsp;&nbsp;&nbsp;&nbsp;4113 |
|  | Republic of Peru | 7.350% | 7/21/25 | 9005 | &nbsp;&nbsp;&nbsp;&nbsp;9438 |
|  | Republic of Peru | 2.844% | 6/20/30 | 10600 | &nbsp;&nbsp;&nbsp;&nbsp;8986 |
|  | Republic of Peru | 2.783% | 1/23/31 | 44830 | &nbsp;&nbsp;&nbsp;37225 |
|  | Republic of Peru | 3.000% | 1/15/34 | 17737 | &nbsp;&nbsp;14020 |
|  |  |  |  |  | &nbsp;&nbsp;**75569** |
| **Philippines (1.0%)** | **Philippines (1.0%)** | **Philippines (1.0%)** | **Philippines (1.0%)** |  |  |
|  | Republic of Philippines | 5.170% | 10/13/27 | 7960 | &nbsp;&nbsp;&nbsp;&nbsp;8132 |
|  | Republic of Philippines | 5.609% | 4/13/33 | 2896 | &nbsp;&nbsp;&nbsp;&nbsp;3057 |
| <sup>6</sup> | Republic of Philippines | 1.750% | 4/28/41 | 16378 | &nbsp;&nbsp;&nbsp;11862 |
|  |  |  |  |  | &nbsp;&nbsp;**23051** |
| **Poland (0.7%)** | **Poland (0.7%)** | **Poland (0.7%)** | **Poland (0.7%)** |  |  |
|  | Republic of Poland | 5.500% | 11/16/27 | 14950 | &nbsp;&nbsp;15358 |
| **Romania (2.3%)** | **Romania (2.3%)** | **Romania (2.3%)** | **Romania (2.3%)** |  |  |
| <sup>6</sup> | Romania | 2.125% | 3/7/28 | 4600 | &nbsp;&nbsp;&nbsp;&nbsp;4092 |
| <sup>6</sup> | Romania | 2.875% | 5/26/28 | 6400 | &nbsp;&nbsp;&nbsp;&nbsp;5909 |
| <sup>5,6</sup> | Romania | 6.625% | 9/27/29 | 13750 | &nbsp;&nbsp;14733 |
| <sup>5,6</sup> | Romania | 1.750% | 7/13/30 | 19185 | &nbsp;&nbsp;14243 |
| <sup>6</sup> | Romania | 1.750% | 7/13/30 | 7460 | &nbsp;&nbsp;&nbsp;&nbsp;5539 |
| <sup>5,6</sup> | Romania | 2.750% | 4/14/41 | 5200 | &nbsp;&nbsp;&nbsp;&nbsp;3099 |
| <sup>6</sup> | Romania | 2.750% | 4/14/41 | 5771 | &nbsp;&nbsp;&nbsp;&nbsp;3438 |
|  |  |  |  |  | &nbsp;&nbsp;**51053** |
| **Russia (0.2%)** | **Russia (0.2%)** | **Russia (0.2%)** | **Russia (0.2%)** |  |  |
| <sup>6,9</sup> | Russian Federation | 2.650% | 5/27/36 | 11900 | &nbsp;&nbsp;&nbsp;&nbsp;4804 |
| **Saudi Arabia (1.8%)** | **Saudi Arabia (1.8%)** | **Saudi Arabia (1.8%)** | **Saudi Arabia (1.8%)** |  |  |
|  | Kingdom of Saudi Arabia | 5.500% | 10/25/32 | 11133 | &nbsp;&nbsp;&nbsp;11737 |
|  | Kingdom of Saudi Arabia | 4.500% | 10/26/46 | 10782 | &nbsp;&nbsp;&nbsp;&nbsp;9548 |
|  | Kingdom of Saudi Arabia | 4.625% | 10/4/47 | 4100 | &nbsp;&nbsp;&nbsp;&nbsp;3664 |
|  | Kingdom of Saudi Arabia | 3.250% | 11/17/51 | 14355 | &nbsp;&nbsp;10360 |
|  | Kingdom of Saudi Arabia | 3.450% | 2/2/61 | 6415 | &nbsp;&nbsp;&nbsp;&nbsp;4589 |
|  |  |  |  |  | &nbsp;&nbsp;**39898** |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Coupon** | **Maturity<br> Date** | **Face<br> Amount<br> ($000)** | &nbsp;&nbsp;**Market<br> Value<br> ($000)** |
| **Senegal (1.1%)** | **Senegal (1.1%)** | **Senegal (1.1%)** | **Senegal (1.1%)** |  |  |
| <sup>8</sup> | Republic of Senegal | 6.250% | 5/23/33 | 5046 | &nbsp;&nbsp;&nbsp;&nbsp;4162 |
| <sup>8</sup> | Republic of Senegal | 6.750% | 3/13/48 | 29675 | &nbsp;&nbsp;20841 |
|  |  |  |  |  | &nbsp;&nbsp;**25003** |
| **Serbia (2.1%)** | **Serbia (2.1%)** | **Serbia (2.1%)** | **Serbia (2.1%)** |  |  |
| <sup>6</sup> | Republic of Serbia | 3.125% | 5/15/27 | 43998 | &nbsp;&nbsp;40321 |
| <sup>5,6</sup> | Republic of Serbia | 2.050% | 9/23/36 | 10316 | &nbsp;&nbsp;&nbsp;&nbsp;6215 |
|  |  |  |  |  | &nbsp;&nbsp;**46536** |
| **South Africa (2.9%)** | **South Africa (2.9%)** | **South Africa (2.9%)** | **South Africa (2.9%)** |  |  |
|  | Republic of South Africa | 4.850% | 9/30/29 | 12234 | &nbsp;&nbsp;&nbsp;10895 |
|  | Republic of South Africa | 5.650% | 9/27/47 | 6502 | &nbsp;&nbsp;&nbsp;&nbsp;4781 |
|  | Republic of South Africa | 5.750% | 9/30/49 | 31206 | &nbsp;&nbsp;&nbsp;22911 |
|  | Republic of South Africa | 7.300% | 4/20/52 | 29605 | &nbsp;&nbsp;25475 |
|  |  |  |  |  | &nbsp;&nbsp;**64062** |
| **South Korea (1.8%)** | **South Korea (1.8%)** | **South Korea (1.8%)** | **South Korea (1.8%)** |  |  |
|  | Export-Import Bank of Korea | 4.000% | 9/15/24 | 9323 | &nbsp;&nbsp;&nbsp;&nbsp;9167 |
|  | Korea Development Bank | 4.000% | 9/8/25 | 2050 | &nbsp;&nbsp;&nbsp;&nbsp;1996 |
| <sup>5</sup> | Korea Electric Power Corp. | 5.375% | 4/6/26 | 8500 | &nbsp;&nbsp;&nbsp;&nbsp;8540 |
| <sup>5</sup> | Korea National Oil Corp. | 1.750% | 4/18/25 | 22153 | &nbsp;&nbsp;20445 |
|  |  |  |  |  | &nbsp;&nbsp;**40148** |
| **Sri Lanka (0.6%)** | **Sri Lanka (0.6%)** | **Sri Lanka (0.6%)** | **Sri Lanka (0.6%)** |  |  |
| <sup>9</sup> | Republic of Sri Lanka | 6.125% | 6/3/25 | 8504 | &nbsp;&nbsp;&nbsp;&nbsp;2727 |
| <sup>9</sup> | Republic of Sri Lanka | 6.825% | 7/18/26 | 12679 | &nbsp;&nbsp;&nbsp;&nbsp;3914 |
| <sup>9</sup> | Republic of Sri Lanka | 6.750% | 4/18/28 | 5319 | &nbsp;&nbsp;&nbsp;&nbsp;1605 |
| <sup>9</sup> | Republic of Sri Lanka | 7.850% | 3/14/29 | 14755 | &nbsp;&nbsp;&nbsp;&nbsp;4469 |
| <sup>9</sup> | Republic of Sri Lanka | 7.550% | 3/28/30 | 1686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;507 |
|  |  |  |  |  | &nbsp;&nbsp;**13222** |
| **Tunisia (0.4%)** | **Tunisia (0.4%)** | **Tunisia (0.4%)** | **Tunisia (0.4%)** |  |  |
|  | Tunisian Republic | 5.750% | 1/30/25 | 13250 | &nbsp;&nbsp;&nbsp;&nbsp;9099 |
| **Turkey (0.3%)** | **Turkey (0.3%)** | **Turkey (0.3%)** | **Turkey (0.3%)** |  |  |
|  | Republic of Turkey | 5.750% | 5/11/47 | 10950 | &nbsp;&nbsp;&nbsp;&nbsp;7447 |
| **Ukraine (0.9%)** | **Ukraine (0.9%)** | **Ukraine (0.9%)** | **Ukraine (0.9%)** |  |  |
| <sup>9</sup> | Ukraine | 7.750% | 9/1/25 | 11800 | &nbsp;&nbsp;&nbsp;&nbsp;2688 |
| <sup>9</sup> | Ukraine | 8.994% | 2/1/26 | 14610 | &nbsp;&nbsp;&nbsp;&nbsp;3168 |
| <sup>9</sup> | Ukraine | 7.750% | 9/1/26 | 10557 | &nbsp;&nbsp;&nbsp;&nbsp;2259 |
| <sup>9</sup> | Ukraine | 7.750% | 9/1/27 | 22715 | &nbsp;&nbsp;&nbsp;&nbsp;4885 |
| <sup>9</sup> | Ukraine | 7.750% | 9/1/28 | 12465 | &nbsp;&nbsp;&nbsp;&nbsp;2575 |
| <sup>9</sup> | Ukraine | 9.750% | 11/1/30 | 501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107 |
| <sup>9</sup> | Ukraine | 6.876% | 5/21/31 | 5900 | &nbsp;&nbsp;&nbsp;&nbsp;1148 |
| <sup>9</sup> | Ukraine | 7.375% | 9/25/34 | 4700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;867 |
| <sup>9</sup> | Ukraine | 7.253% | 3/15/35 | 8200 | &nbsp;&nbsp;&nbsp;&nbsp;1501 |
| <sup>8,9</sup> | Ukreximbank Via Biz Finance plc | 9.750% | 1/22/25 | 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 |
|  |  |  |  |  | &nbsp;&nbsp;**19221** |
| **United Arab Emirates (2.4%)** | **United Arab Emirates (2.4%)** | **United Arab Emirates (2.4%)** | **United Arab Emirates (2.4%)** |  |  |
| <sup>5</sup> | Emirate of Abu Dhabi | 4.951% | 7/7/52 | 45930 | &nbsp;&nbsp;45882 |
| <sup>5</sup> | Finance Department Government of Sharjah | 4.000% | 7/28/50 | 2646 | &nbsp;&nbsp;&nbsp;&nbsp;1736 |
|  | Finance Department Government of Sharjah | 4.000% | 7/28/50 | 5860 | &nbsp;&nbsp;&nbsp;&nbsp;3848 |
|  | Finance Department Government of Sharjah | 4.375% | 3/10/51 | 4060 | &nbsp;&nbsp;&nbsp;&nbsp;2725 |
|  |  |  |  |  | &nbsp;&nbsp;**54191** |
| **Uzbekistan (2.0%)** | **Uzbekistan (2.0%)** | **Uzbekistan (2.0%)** | **Uzbekistan (2.0%)** |  |  |
|  | Republic of Uzbekistan | 4.750% | 2/20/24 | 24199 | &nbsp;&nbsp;23641 |
| <sup>5</sup> | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 27361 | &nbsp;&nbsp;21921 |
|  |  |  |  |  | &nbsp;&nbsp;**45562** |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Coupon** | **Maturity<br> Date** | **Face<br> Amount<br> ($000)** | &nbsp;&nbsp;**Market<br> Value<br> ($000)** |
| **Venezuela (0.0%)** | **Venezuela (0.0%)** | **Venezuela (0.0%)** | **Venezuela (0.0%)** |  |  |
| <sup>9</sup> | Republic of Venezuela | 11.750% | 10/21/26 | 640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 |
| <sup>9</sup> | Republic of Venezuela | 7.000% | 3/31/38 | 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;120 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**171** |
| **Vietnam (0.2%)** | **Vietnam (0.2%)** | **Vietnam (0.2%)** | **Vietnam (0.2%)** |  |  |
|  | Socialist Republic of Vietnam | 4.800% | 11/19/24 | 4700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4589 |
| **Total Sovereign Bonds (Cost $1,659,553)** | **Total Sovereign Bonds (Cost $1,659,553)** | **Total Sovereign Bonds (Cost $1,659,553)** | **Total Sovereign Bonds (Cost $1,659,553)** |  | **1370781** |
|  |  |  |  | Shares |  |
| **Temporary Cash Investments (4.8%)** | **Temporary Cash Investments (4.8%)** | **Temporary Cash Investments (4.8%)** | **Temporary Cash Investments (4.8%)** |  |  |
| **Money Market Fund (4.8%)** | **Money Market Fund (4.8%)** | **Money Market Fund (4.8%)** | **Money Market Fund (4.8%)** |  |  |
| <sup>13</sup> | Vanguard Market Liquidity Fund **(Cost** $**106,300)** | 4.334% |  | 1063480 | &nbsp;&nbsp;&nbsp;&nbsp;**106337** |
| **Total Investments (98.6%) (Cost $2,539,234)** | **Total Investments (98.6%) (Cost $2,539,234)** | **Total Investments (98.6%) (Cost $2,539,234)** | **Total Investments (98.6%) (Cost $2,539,234)** |  | **2188241** |
| **Other Assets and Liabilities—Net (1.4%)** | **Other Assets and Liabilities—Net (1.4%)** | **Other Assets and Liabilities—Net (1.4%)** | **Other Assets and Liabilities—Net (1.4%)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**31134** |
| **Net Assets (100.0%)** | **Net Assets (100.0%)** | **Net Assets (100.0%)** | **Net Assets (100.0%)** |  | &nbsp;&nbsp;**2219375** |
| Cost is in $000. | Cost is in $000. | Cost is in $000. | Cost is in $000. |  |  |

---

---

| | |
|:---|:---|
| 1 | Securities with a value of $6,590,000 have been segregated as initial margin for open futures contracts. |
| 2 | Securities with a value of $989,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
| 3 | Securities with a value of $2,806,000 have been segregated as initial margin for open centrally cleared swap contracts. |
| 4 | Guaranteed by the Republic of Azerbaijan. |
| 5 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the aggregate value was $361,981,000, representing 16.3% of net assets. |
| 6 | Face amount denominated in euro. |
| 7 | Face amount denominated in Swiss francs. |
| 8 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 9 | Non-income-producing security—security in default. |
| 10 | Step bond. |
| 11 | Face amount denominated in Kazakhstan Tenge. |
| 12 | Face amount denominated in Mexican pesos. |
| 13 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |

---

------

#### Derivative Financial Instruments Outstanding as of Period End

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| Futures Contracts | Futures Contracts | Futures Contracts | Futures Contracts | Futures Contracts |
|  |  |  | ($000) | ($000) |
|  | Expiration | Number of<br> Long (Short)<br> Contracts | Notional<br> Amount | &nbsp;&nbsp;Value and<br> Unrealized<br> Appreciation<br> (Depreciation) |
| Long Futures Contracts |  |  |  |  |
| 5-Year U.S. Treasury Note | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;143 | &nbsp;&nbsp;&nbsp;&nbsp;15434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(11) |
| 10-Year U.S. Treasury Note | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;463 | &nbsp;&nbsp;&nbsp;&nbsp;51993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(70) |
| Long U.S. Treasury Bond | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97 | &nbsp;&nbsp;&nbsp;&nbsp;12158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(94) |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;(175) |
| Short Futures Contracts |  |  |  |  |
| 2-Year U.S. Treasury Note | March 2023 | (1712) | (351094) | &nbsp;&nbsp;1104 |
| Euro-Bobl | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;(342) | &nbsp;&nbsp;&nbsp;(42375) | &nbsp;&nbsp;1318 |
| Euro-Bund | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;(357) | &nbsp;&nbsp;&nbsp;(50799) | &nbsp;&nbsp;3148 |
| Euro-Schatz | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;(858) | &nbsp;&nbsp;&nbsp;(96822) | &nbsp;&nbsp;1045 |
|  |  |  |  | &nbsp;&nbsp;6615 |
|  |  |  |  | &nbsp;&nbsp;6440 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts |
|  | Contract<br> Settlement<br> Date | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Depreciation<br> ($000) |
| Counterparty | Contract<br> Settlement<br> Date | &nbsp;&nbsp;&nbsp;Receive | &nbsp;&nbsp;&nbsp;Receive | &nbsp;&nbsp;&nbsp;Deliver | &nbsp;&nbsp;&nbsp;Deliver | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Depreciation<br> ($000) |
| BNP Paribas | &nbsp;&nbsp;1/3/23 | &nbsp;&nbsp;&nbsp;BRL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116160 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(166) |
| Morgan Stanley Capital Services Inc. | 3/15/23 | &nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5138 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5482 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Bank of America, N.A. | 3/15/23 | &nbsp;&nbsp;&nbsp;IDR | &nbsp;&nbsp;&nbsp;167934250 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10782 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5) |
| JPMorgan Chase Bank, N.A. | 3/15/23 | &nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1547783 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Bank of America, N.A. | 1/19/23 | &nbsp;&nbsp;&nbsp;KRW | &nbsp;&nbsp;&nbsp;&nbsp;22439743 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Bank of America, N.A. | 3/15/23 | &nbsp;&nbsp;&nbsp;MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;224077 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| JPMorgan Chase Bank, N.A. | &nbsp;&nbsp;1/3/23 | &nbsp;&nbsp;&nbsp;MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215720 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(21) |
| Goldman Sachs & Co. | 3/15/23 | &nbsp;&nbsp;&nbsp;MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215720 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| UBS AG | 3/15/23 | &nbsp;&nbsp;&nbsp;TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139210 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(81) |
| BNP Paribas | &nbsp;&nbsp;1/3/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22221 | &nbsp;&nbsp;&nbsp;BRL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;234 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Morgan Stanley Capital Services Inc. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1744 | &nbsp;&nbsp;&nbsp;CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Morgan Stanley Capital Services Inc. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22324 | &nbsp;&nbsp;&nbsp;CNY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;154131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(78) |
| Citibank, N.A. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11385 | &nbsp;&nbsp;&nbsp;COP | &nbsp;&nbsp;&nbsp;55261736 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Barclays Bank plc | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2777 | &nbsp;&nbsp;&nbsp;CZK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(24) |
| UBS AG | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;211864 | &nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;197477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(624) |
| Barclays Bank plc | 3/16/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;779 | &nbsp;&nbsp;&nbsp;HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;302752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(16) |
| JPMorgan Chase Bank, N.A. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;205 | &nbsp;&nbsp;&nbsp;INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Morgan Stanley Capital Services Inc. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34168 | &nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;4554434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(890) |
| Bank of America, N.A. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33453 | &nbsp;&nbsp;&nbsp;MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;669694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(442) |
| Goldman Sachs & Co. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13082 | &nbsp;&nbsp;&nbsp;MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |

---

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Forward Currency Contracts (continued) | Forward Currency Contracts (continued) | Forward Currency Contracts (continued) | Forward Currency Contracts (continued) | Forward Currency Contracts (continued) | Forward Currency Contracts (continued) | Forward Currency Contracts (continued) | Forward Currency Contracts (continued) |
|  | Contract<br> Settlement<br> Date | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Depreciation<br> ($000) |
| Counterparty | Contract<br> Settlement<br> Date | &nbsp;&nbsp;&nbsp;Receive | &nbsp;&nbsp;&nbsp;Receive | &nbsp;&nbsp;&nbsp;Deliver | &nbsp;&nbsp;&nbsp;Deliver | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Depreciation<br> ($000) |
| Morgan Stanley Capital Services Inc. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 | &nbsp;&nbsp;&nbsp;MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Morgan Stanley Capital Services Inc. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11041 | &nbsp;&nbsp;&nbsp;PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;616395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| UBS AG | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1275 | &nbsp;&nbsp;&nbsp;PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8) |
| Goldman Sachs & Co. | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17683 | &nbsp;&nbsp;&nbsp;TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(958) |
| UBS AG | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5154 | &nbsp;&nbsp;&nbsp;TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;101201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Standard Chartered Bank | 3/15/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114 | &nbsp;&nbsp;&nbsp;TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) |
| UBS AG | 1/19/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22725 | &nbsp;&nbsp;&nbsp;TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;695840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;1466 | &nbsp;&nbsp;&nbsp;(3315) |

---

---

| |
|:---|
| BRL—Brazilian real. |
| CHF—Swiss franc. |
| CNY—Chinese renminbi. |
| COP—Colombia peso. |
| CZK—Czech koruna. |
| EUR—euro. |
| HUF—Hungarian forint. |
| IDR—Indonesian rupiah. |
| INR—Indian rupee. |
| JPY—Japanese yen. |
| KRW—Korean won. |
| MXN—Mexican peso. |
| PHP—Philippines Peso. |
| PLN—Polish zloty. |
| TRY—Turkish lira. |
| TWD—Taiwanese dollar. |
| USD—U.S. dollar. |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps |
| Reference<br> Entity | Termination<br> Date | Counterparty | Notional<br> Amount<br> ($000) | Periodic<br> Premium<br> Received<br> (Paid)<sup>1</sup><br> (%) | Value<br> ($000) | Remaining<br> Up-Front<br> Premium<br> Paid<br> (Received)<br> ($000) | Unrealized<br> Appreciation<br> ($000) | Unrealized<br> Depreciation<br> ($000) |
| Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating |
| Federation of Malaysia/A3 | 12/21/27 | BARC | 39900 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;355 | &nbsp;&nbsp;&nbsp;&nbsp;(121) | &nbsp;&nbsp;&nbsp;&nbsp;476 | &nbsp;&nbsp;— |
| Federation of Malaysia/A3 | 12/21/27 | MSCS | 24000 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;213 | &nbsp;&nbsp;&nbsp;&nbsp;(145) | &nbsp;&nbsp;&nbsp;&nbsp;358 | &nbsp;&nbsp;— |
| Federation of Malaysia/A3 | 12/21/27 | MSCS | &nbsp;&nbsp;&nbsp;5560 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(36) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85 | &nbsp;&nbsp;— |
| Federative Republic of Brazil/Ba2 | 12/21/27 | BARC | &nbsp;&nbsp;16650 | &nbsp;&nbsp;1.000 | (1073) | (1183) | &nbsp;&nbsp;&nbsp;&nbsp;110 | &nbsp;&nbsp;— |
| Republic of Chile/A2 | 12/21/27 | BARC | &nbsp;&nbsp;27860 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;(100) | &nbsp;&nbsp;&nbsp;&nbsp;(837) | &nbsp;&nbsp;&nbsp;&nbsp;737 | &nbsp;&nbsp;— |
| Republic of Chile/A2 | 12/21/27 | JPMC | &nbsp;&nbsp;&nbsp;8250 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(29) | &nbsp;&nbsp;&nbsp;&nbsp;(212) | &nbsp;&nbsp;&nbsp;&nbsp;183 | &nbsp;&nbsp;— |
| Republic of Chile/A2 | 12/21/27 | MSCS | &nbsp;&nbsp;15730 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(57) | &nbsp;&nbsp;&nbsp;&nbsp;(339) | &nbsp;&nbsp;&nbsp;&nbsp;282 | &nbsp;&nbsp;— |
| Republic of Peru/Baa1 | 12/21/27 | CITNA | &nbsp;&nbsp;&nbsp;9600 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(85) | &nbsp;&nbsp;&nbsp;&nbsp;(234) | &nbsp;&nbsp;&nbsp;&nbsp;149 | &nbsp;&nbsp;— |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Over-the-Counter Credit Default Swaps (continued) | Over-the-Counter Credit Default Swaps (continued) | Over-the-Counter Credit Default Swaps (continued) | Over-the-Counter Credit Default Swaps (continued) | Over-the-Counter Credit Default Swaps (continued) | Over-the-Counter Credit Default Swaps (continued) | Over-the-Counter Credit Default Swaps (continued) | Over-the-Counter Credit Default Swaps (continued) | Over-the-Counter Credit Default Swaps (continued) |
| Reference<br> Entity | Termination<br> Date | Counterparty | Notional<br> Amount<br> ($000) | Periodic<br> Premium<br> Received<br> (Paid)<sup>1</sup><br> (%) | Value<br> ($000) | Remaining<br> Up-Front<br> Premium<br> Paid<br> (Received)<br> ($000) | Unrealized<br> Appreciation<br> ($000) | Unrealized<br> Depreciation<br> ($000) |
| Republic of Peru/Baa1 | 12/21/27 | GSI | &nbsp;&nbsp;&nbsp;&nbsp;2812 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(25) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(83) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 | &nbsp;&nbsp;— |
| Republic of Philippines/Baa2 | 12/21/27 | BARC | &nbsp;&nbsp;&nbsp;6790 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;&nbsp;(110) | &nbsp;&nbsp;&nbsp;&nbsp;116 | &nbsp;&nbsp;— |
| Republic of Philippines/Baa2 | 12/21/27 | GSI | &nbsp;&nbsp;38470 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31 | &nbsp;&nbsp;&nbsp;&nbsp;(126) | &nbsp;&nbsp;&nbsp;&nbsp;157 | &nbsp;&nbsp;— |
| Republic of South Africa/Ba2 | 12/21/27 | BANA | &nbsp;&nbsp;&nbsp;&nbsp;1194 | &nbsp;&nbsp;1.000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(75) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(92) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;— |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;(790) | (3518) | 2728 | &nbsp;&nbsp;— |
| Credit Protection Purchased | Credit Protection Purchased | Credit Protection Purchased | Credit Protection Purchased | Credit Protection Purchased | Credit Protection Purchased | Credit Protection Purchased | Credit Protection Purchased | Credit Protection Purchased |
| Petroleos Mexicanos | 12/22/26 | BARC | &nbsp;&nbsp;15300 | (1.000) | &nbsp;&nbsp;&nbsp;2144 | &nbsp;&nbsp;1263 | &nbsp;&nbsp;&nbsp;&nbsp;881 | &nbsp;&nbsp;— |
| Republic of Colombia | &nbsp;&nbsp;6/22/27 | BANA | &nbsp;&nbsp;11960 | (1.000) | &nbsp;&nbsp;&nbsp;&nbsp;695 | &nbsp;&nbsp;&nbsp;&nbsp;577 | &nbsp;&nbsp;&nbsp;&nbsp;118 | &nbsp;&nbsp;— |
| Republic of Colombia | &nbsp;&nbsp;6/22/27 | JPMC | &nbsp;&nbsp;&nbsp;8395 | (1.000) | &nbsp;&nbsp;&nbsp;&nbsp;488 | &nbsp;&nbsp;&nbsp;&nbsp;498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | (10) |
| Republic of Colombia | &nbsp;&nbsp;6/22/27 | MSCS | &nbsp;&nbsp;14280 | (1.000) | &nbsp;&nbsp;&nbsp;&nbsp;829 | &nbsp;&nbsp;&nbsp;&nbsp;583 | &nbsp;&nbsp;&nbsp;&nbsp;246 | &nbsp;&nbsp;— |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;4156 | &nbsp;&nbsp;2921 | 1245 | (10) |
|  |  |  |  |  | &nbsp;&nbsp;3366 | &nbsp;&nbsp;&nbsp;&nbsp;(597) | 3973 | (10) |

---

1 Periodic premium received/paid quarterly.

---

| |
|:---|
| BANA—Bank of America, N.A. |
| BARC—Barclays Bank plc. |
| CITNA—Citibank NA. |
| GSI—Goldman Sachs International. |
| JPMC—JPMorgan Chase Bank, N.A. |
| MSCS—Morgan Stanley Capital Services LLC. |

---

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.

At December 31, 2022, the counterparties had deposited in segregated accounts securities with a value of $3,277,000 in connection with open forward currency contracts and open over-the-counter swap contracts.

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps |
| Termination<br> Date | Future<br> Effective<br> Date | &nbsp;&nbsp;&nbsp;Notional<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;Interest<br> Rate<br> Received<br> (%) | &nbsp;&nbsp;&nbsp;Interest<br> Rate<br> (Paid)<br> (%) | &nbsp;&nbsp;&nbsp;Value<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> (Depreciation)<br> ($000) |
| 6/28/24 | 6/28/23<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1267970<sup>2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;0.000<sup>3</sup> | &nbsp;&nbsp;&nbsp;(6.165)<sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;179 | &nbsp;&nbsp;&nbsp;&nbsp;179 |
| 8/9/24 | &nbsp;&nbsp;&nbsp;8/9/23<sup>1</sup> | &nbsp;&nbsp;&nbsp;1759455<sup>2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;0.000<sup>3</sup> | &nbsp;&nbsp;&nbsp;(5.301)<sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;755 | &nbsp;&nbsp;&nbsp;&nbsp;755 |
| 6/3/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;428605<sup>5</sup> | &nbsp;&nbsp;&nbsp;10.761<sup>6</sup> | &nbsp;&nbsp;&nbsp;(8.560)<sup>7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;241 | &nbsp;&nbsp;&nbsp;&nbsp;241 |
| 12/21/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;1469265<sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6.495<sup>9</sup> | &nbsp;&nbsp;&nbsp;(6.805)<sup>10</sup> | &nbsp;&nbsp;&nbsp;(272) | &nbsp;&nbsp;&nbsp;(272) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;903 | &nbsp;&nbsp;&nbsp;&nbsp;903 |

---

---

| | |
|:---|:---|
| 1 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
| 2 | Notional amount denominated in Czeck koruna. |
| 3 | Based on Prague Interbank Offered Rate as of the most recent payment date. Interest payment received/paid semiannually. |
| 4 | Interest payment received/paid at maturity. |
| 5 | Notional amount denominated in Mexican Peso. |
| 6 | Based on 28-day Mexican Interbank Rate (TIIE) as of the most recent payment date. Interest payment received/paid every 28 days. |
| 7 | Interest payment received/paid every 28 days. |
| 8 | Notional amount denominated in Indian rupee. |
| 9 | Based on 1-day Overnight Mumbai Interbank Outright Rate as of the most recent payment date. Interest payment received/paid semiannually. |
| 10 | Interest payment received/paid semiannually. |

---

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities' primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. Options: The fund invests in options on foreign currency, which are transacted over-the-counter (OTC) and not on an exchange. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into options with a diverse group of prequalified counterparties and monitoring their financial strength. The primary

------

risk associated with purchasing options on foreign currency is that the value of the underlying foreign currencies may move in such a way that the exercise price of the option exceeds the value of the underlying investment, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options on foreign currency is that the value of the underlying foreign currencies may move in such a way that the exercise price of the option exceeds the value of the underlying investment, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

Options contracts on foreign currency are valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

The fund had no open options contracts on foreign currency at December 31, 2022.

D. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).

E. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

------

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).

F. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other either an amount that is a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, applied to a notional amount. In return, the counterparty agrees to pay a different floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The fund enters into centrally cleared credit default and interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty's default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged

------

as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

G. Various inputs may be used to determine the value of the fund's investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

#### Level 1 —Quoted prices in active markets for identical securities.

#### Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
**Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.**

The following table summarizes the market value of the fund's investments and derivatives as of December 31, 2022, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Level 1<br> ($000) | &nbsp;&nbsp;&nbsp;Level 2<br> ($000) | &nbsp;&nbsp;&nbsp;Level 3<br> ($000) | &nbsp;&nbsp;&nbsp;Total<br> ($000) |
| **Investments** |  |  |  |  |
| Assets |  |  |  |  |
| U.S. Government and Agency Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;204494 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;204494 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;506629 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;506629 |
| Sovereign Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;1370781 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;1370781 |
| Temporary Cash Investments | 106337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106337 |
| Total | 106337 | &nbsp;&nbsp;&nbsp;2081904 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2188241 |
| **Derivative Financial Instruments** |  |  |  |  |
| Assets |  |  |  |  |
| Futures Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6615 |
| Forward Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1466 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1466 |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;1175<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3973 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5148 |
| Total | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5439 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13229 |
| Liabilities |  |  |  |  |
| Futures Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 |
| Forward Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3315 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3315 |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;272<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;282 |
| Total | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3325 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3772 |

---

1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VANGUARD MALVERN FUNDS

- **b. Investment Company Act file number:** 811-05628

- **c. CIK number of Registrant:** 0000836906

- **d. LEI of Registrant:** 549300EW16IGZDA38J20

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

  - **Street Address 1:** 100 Vanguard Boulevard

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

  - **Telephone number:** 610-669-1000

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

- **a. Name of Series:** VANGUARD EMERGING MARKETS BOND FUND

- **b. EDGAR series identifier (if any):** S000053069

- **c. LEI of Series:** 5493006QRHGOC6VL4381

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

- **a. Date of fiscal year-end:** 2023-09-30

- **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:** $2400100590.78

**Total Liabilities:** $179270338.01

**Net Assets:** $2220830252.77

**Cash Not Reported:** $26871407.36

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2040.11984916 | **1-Year:** -33164.68013794 | **5-Year:** -157781.00320994 | **10-Year:** -246256.16646307 | **30-Year:** -197855.80760836

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

- **3-Month:** -2542.63822552 | **1-Year:** -48591.11982416 | **5-Year:** -167031.97161520 | **10-Year:** -209770.72072092 | **30-Year:** -140050.36781354

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000166998 | 1.27%                | 8.23%                | 0.14%                |
| Class ID C000166997 | 1.25%                | 8.29%                | 0.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-53960867.16            | $69233609.06                               |
| Month 2  | $-13624572.78            | $181321719.77                              |
| Month 3  | $-6819549.36             | $-1949578.65                               |

**Designated Index Information**

- **Index Name:** JP Morgan Emerging Markets Bond Index Global Diversified

- **Index Identifier:** JPGCCOMP

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Nigeria Government International Bond                     | REP OF NIGERIA                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | NG        |    7790000 | PA      | $6292786.15   | 0.28%             | 2027-11-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                     | PETROLEOS DEL PE               | CUSIP: N/A<br>LEI: 549300ZMGDLC9JT2OR80       | Long             | DBT              | CORP              | PE        |   21928000 | PA      | $14287554.60  | 0.64%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Honduras Government International Bond                    | HONDURAS GOVT                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | HN        |   12688666 | PA      | $12617636.46  | 0.57%             | 2024-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SWP: MXN 8.560000 03-JUN-2027  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  428605000 | NC      | $238395.89    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                       | SCDS: (PHILIP)                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -6790000 | NC      | $3213.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond          | ARGENTINA                      | CUSIP: 040114HV5<br>LEI: N/A                  | Long             | DBT              | NUSS              | AR        |    8000000 | PA      | $2251336.64   | 0.10%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Indonesia Asahan Aluminium Persero PT                     | INDONESIA ASAHAN               | CUSIP: N/A<br>LEI: 2549008P48EB9SN2OI80       | Long             | DBT              | CORP              | ID        |    3270000 | PA      | $3207794.14   | 0.14%             | 2025-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bond                     | HUNGARY                        | CUSIP: 445545AL0<br>LEI: N/A                  | Long             | DBT              | NUSS              | HU        |    3970000 | PA      | $3966185.27   | 0.18%             | 2024-03-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                    | ROMANIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RO        |    5200000 | PA      | $3098736.59   | 0.14%             | 2041-04-14      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                       | CHF/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5085.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   32907000 | PA      | $21061630.43  | 0.95%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Angolan Government International Bond                     | ANGOLA REP OF                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AO        |    6112000 | PA      | $4776465.05   | 0.22%             | 2049-11-26      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | FSWP: INR 6.805000 21-DEC-2027 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | 1469265000 | NC      | $-270344.10   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Nigeria Government International Bond                     | REP OF NIGERIA                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | NG        |    4600000 | PA      | $3063956.50   | 0.14%             | 2051-09-28      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Indonesia Asahan Aluminium Persero PT                     | INDONESIA ASAHAN               | CUSIP: N/A<br>LEI: 2549008P48EB9SN2OI80       | Long             | DBT              | CORP              | ID        |    4100000 | PA      | $3918716.86   | 0.18%             | 2030-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Nigeria Government International Bond                     | REP OF NIGERIA                 | CUSIP: 65412JAU7<br>LEI: N/A                  | Long             | DBT              | NUSS              | NG        |   12408000 | PA      | $10269436.03  | 0.46%             | 2029-03-24      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Petroleos de Venezuela SA                                 | PETROLEOS DE VEN               | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | VE        |     462000 | PA      | $21021.00     | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | PHP/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5732.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mexican Bonos                                             | MEXICAN BONOS                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | MX        |  796000000 | PA      | $35572868.89  | 1.60%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CIBANCO SA Institucion de Banca Multiple Trust CIB/3332   | CIBANCO SA                     | CUSIP: 171653AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    8565000 | PA      | $6267185.65   | 0.28%             | 2031-07-22      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (MALAYS)                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -24000000 | NC      | $205092.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Vietnam Government International Bond                     | VIETNAM (REP OF)               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | VN        |    4700000 | PA      | $4588741.13   | 0.21%             | 2024-11-19      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | INR/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $353.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Gabon Government International Bond                       | REPUBLIC OF GABO               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GA        |    7000000 | PA      | $5721482.20   | 0.26%             | 2031-02-06      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                              | ECOPETROL SA                   | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   37583000 | PA      | $37370150.18  | 1.68%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bond                     | HUNGARY                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | HU        |    8905000 | PA      | $5358554.36   | 0.24%             | 2051-09-21      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Gabon Government International Bond                       | REPUBLIC OF GABO               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GA        |    7500000 | PA      | $7099432.50   | 0.32%             | 2025-06-16      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Korea National Oil Corp                                   | KOREA NATL OIL                 | CUSIP: 50066PAR1<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | NUSS              | KR        |   22153000 | PA      | $20445287.48  | 0.92%             | 2025-04-18      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Peruvian Government International Bond                    | REPUBLIC OF PERU               | CUSIP: 715638DF6<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |   43050000 | PA      | $35746789.21  | 1.61%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    7945000 | PA      | $5028926.79   | 0.23%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                       | ARAB REP EGYPT                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | EG        |   24784000 | PA      | $16517019.22  | 0.74%             | 2047-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                    | ROMANIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RO        |    7460000 | PA      | $5538352.48   | 0.25%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | CZK/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-24114.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KazTransGas JSC                                           | KAZTRANSGAS JSC                | CUSIP: AP2207813<br>LEI: 635400YGLXBBSVHONW39 | Long             | DBT              | CORP              | KZ        |   11599000 | PA      | $10358631.94  | 0.47%             | 2027-09-26      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Russian Foreign Bond - Eurobond                           | RUSSIA-EUROBOND                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RU        |   11900000 | PA      | $4803526.94   | 0.22%             | 2036-05-27      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Corp Financiera de Desarrollo SA                          | CORP FINANCIERA                | CUSIP: N/A<br>LEI: 254900BOM7T4MG6T0J30       | Long             | DBT              | NUSS              | PE        |     203000 | PA      | $196558.81    | 0.01%             | 2025-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | PLN/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8399.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oman Government International Bond                        | OMAN INTRNL BOND               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | OM        |   11031000 | PA      | $10035219.50  | 0.45%             | 2047-03-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (CHILE)                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -8250000 | NC      | $-32428.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Serbia International Bond                                 | SERBIA REPUBLIC                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RS        |   10316000 | PA      | $6215378.22   | 0.28%             | 2036-09-23      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   10894000 | PA      | $6684446.52   | 0.30%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                     | PETROLEOS DEL PE               | CUSIP: 716564AB5<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    8750000 | PA      | $5693145.94   | 0.26%             | 2047-06-19      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Saudi Government International Bond                       | SAUDI INT BOND                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SA        |   10782000 | PA      | $9547763.97   | 0.43%             | 2046-10-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (PERU)                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -2812000 | NC      | $-25801.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | FSWP: CZK 6.165000 28-JUN-2024 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | 1267970000 | NC      | $179288.85    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |   14610000 | PA      | $3168178.50   | 0.14%             | 2026-02-01      | Fixed         | 8.99%                 | No            |                  2 | On Loan: No      |
| Republic of Azerbaijan International Bond                 | REPUBLIC OF AZER               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AZ        |    1516000 | PA      | $1499705.88   | 0.07%             | 2024-03-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co JSC                               | KAZMUNAYGAS NAT                | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |    1840000 | PA      | $1427380.00   | 0.06%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | TRY/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2122.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (CHILE)                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -27860000 | NC      | $-109510.92   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |    8200000 | PA      | $1501092.00   | 0.07%             | 2035-03-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Guatemala Government Bond                                 | REP OF GUATEMALA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GT        |    6584000 | PA      | $6328224.77   | 0.28%             | 2026-05-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nigeria Government International Bond                     | REP OF NIGERIA                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | NG        |   10164000 | PA      | $7850165.40   | 0.35%             | 2028-09-28      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Lebanon Government International Bond                     | LEBANESE REP                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LB        |    4900000 | PA      | $280849.87    | 0.01%             | 2030-02-26      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Korea Electric Power Corp                                 | KOREA ELEC PWR                 | CUSIP: 500631AX4<br>LEI: 988400QG33WS7JEIV602 | Long             | DBT              | NUSS              | KR        |    8500000 | PA      | $8540230.76   | 0.38%             | 2026-04-06      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Perusahaan Penerbit SBSN Indonesia III                    | SBSN INDO III                  | CUSIP: 71567PAU4<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | CORP              | ID        |    2840000 | PA      | $2813293.75   | 0.13%             | 2027-06-06      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Bahrain Government International Bond                     | BAHRAIN                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | BH        |   19637000 | PA      | $15448590.89  | 0.70%             | 2051-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| El Salvador Government International Bond                 | EL SALVADOR REP                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SV        |    8500000 | PA      | $3709789.30   | 0.17%             | 2032-04-10      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Philippine Government International Bond                  | PHILIPPINES(REP)               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | PH        |   16378000 | PA      | $11862044.64  | 0.53%             | 2041-04-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA, REPUBLIC OF (GOVERNMENT)                 | MACEDO 1.625 3/10/2028         | CUSIP: N/A<br>LEI: 529900FA29F5OY2J7P74       | Long             | DBT              | CORP              | MK        |    1114000 | PA      | $931538.76    | 0.04%             | 2028-03-10      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Saudi Government International Bond                       | SAUDI INT BOND                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SA        |    6415000 | PA      | $4588755.35   | 0.21%             | 2061-02-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (PEMEX)                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   15300000 | NC      | $2148868.95   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | FSWP: CZK 5.301250 09-AUG-2024 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | 1759455000 | NC      | $755067.46    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                       | SCDS: (COLOM)                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |    8395000 | NC      | $490583.81    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Panama Government International Bond                      | PANAMA                         | CUSIP: 698299BM5<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |    4000000 | PA      | $2938949.84   | 0.13%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Croatia Government International Bond                     | CROATIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | HR        |    3000000 | PA      | $2718932.50   | 0.12%             | 2029-06-19      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Saudi Government International Bond                       | SAUDI INT BOND                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SA        |   14355000 | PA      | $10359967.61  | 0.47%             | 2051-11-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Saudi Government International Bond                       | SAUDI INT BOND                 | CUSIP: 80413TBA6<br>LEI: N/A                  | Long             | DBT              | NUSS              | SA        |   11133000 | PA      | $11737223.76  | 0.53%             | 2032-10-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                       | TRY/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-81135.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond          | ARGENTINA                      | CUSIP: 040114HT0<br>LEI: N/A                  | Long             | DBT              | NUSS              | AR        |   41371000 | PA      | $10537528.39  | 0.47%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bond                    | COLOMBIA REP OF                | CUSIP: 195325CU7<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |   32587000 | PA      | $22349066.28  | 1.01%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                     | DOMINICAN REPUBL               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | DO        |   29567000 | PA      | $21717490.75  | 0.98%             | 2060-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GC Treasury Center Co Ltd                                 | GC TREASURY                    | CUSIP: 36830DAC5<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |    3500000 | PA      | $2421500.34   | 0.11%             | 2051-03-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Peruvian Government International Bond                    | REPUBLIC OF PERU               | CUSIP: 715638DU3<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |   17737000 | PA      | $14020044.74  | 0.63%             | 2034-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | BRL/USD FWD 20230103           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $140946.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                          | US TREASURY N/B                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52000000 | PA      | $47295622.40  | 2.13%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (PERU)                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -9600000 | NC      | $-88085.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Angolan Government International Bond                     | ANGOLA REP OF                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AO        |    2000000 | PA      | $1583638.60   | 0.07%             | 2048-05-08      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Peruvian Government International Bond                    | REPUBLIC OF PERU               | CUSIP: 715638AS1<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |    9005000 | PA      | $9438031.54   | 0.42%             | 2025-07-21      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    9453000 | PA      | $6549759.76   | 0.29%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bond                      | PANAMA                         | CUSIP: 698299BS2<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |    8617000 | PA      | $6101008.86   | 0.27%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (COLOM)                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   11960000 | NC      | $698913.92    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                    | ROMANIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RO        |    6400000 | PA      | $5909057.27   | 0.27%             | 2028-05-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | JPY/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-890013.73   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Lebanon Government International Bond                     | LEBANESE REP                   | CUSIP: AS8295618<br>LEI: N/A                  | Long             | DBT              | NUSS              | LB        |    1445000 | PA      | $87299.10     | 0.00%             | 2034-05-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                       | ARAB REP EGYPT                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | EG        |    6463000 | PA      | $4369666.62   | 0.20%             | 2050-05-29      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                          | COMISION FEDERAL               | CUSIP: N/A<br>LEI: 4469000001BFPONMPF32       | Long             | DBT              | CORP              | MX        |    7300000 | PA      | $6455202.39   | 0.29%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Guatemala Government Bond                                 | REP OF GUATEMALA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GT        |    3000000 | PA      | $2406408.30   | 0.11%             | 2041-10-07      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | KRW/USD FWD 20230119           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $708296.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                      | UNITED MEXICAN                 | CUSIP: 91086QAZ1<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    3520000 | PA      | $2967173.05   | 0.13%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | EUR/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $46050.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                    | ROMANIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RO        |   13750000 | PA      | $14733222.58  | 0.66%             | 2029-09-27      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Panama Government International Bond                      | PANAMA                         | CUSIP: 698299BT0<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |    9460000 | PA      | $9624257.29   | 0.43%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | BRL/USD FWD 20230103           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-30411.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | COP/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $149582.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bond                   | REP OF SRI LANKA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LK        |    5319000 | PA      | $1604742.30   | 0.07%             | 2028-04-18      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bond                   | REP OF SRI LANKA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LK        |    1686000 | PA      | $507732.16    | 0.02%             | 2030-03-28      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Gabon Government International Bond                       | REPUBLIC OF GABO               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GA        |    4678000 | PA      | $3828709.10   | 0.17%             | 2031-11-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | EUR/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-623691.82   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                       | ARAB REP EGYPT                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | EG        |   23231000 | PA      | $14683502.02  | 0.66%             | 2048-02-21      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |    4700000 | PA      | $866445.00    | 0.04%             | 2034-09-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | IDR/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5362.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Finance Department Government of Sharjah                  | FIN DEPT SHARJAH               | CUSIP: N/A<br>LEI: 254900ZNL8O3F1CLJO24       | Long             | DBT              | NUSS              | AE        |    5860000 | PA      | $3847339.05   | 0.17%             | 2050-07-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southern Gas Corridor CJSC                                | STHRN GAS CRIDOR               | CUSIP: N/A<br>LEI: 213800DG58KG59XY6318       | Long             | DBT              | CORP              | AZ        |   23215000 | PA      | $23756280.94  | 1.07%             | 2026-03-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | MXN/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $185537.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (MALAYS)                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -39900000 | NC      | $340966.33    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4278000 | PA      | $3368065.38   | 0.15%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Antofagasta PLC                                           | ANTOFAGASTA                    | CUSIP: N/A<br>LEI: 213800MY6QVH4FVLD628       | Long             | DBT              | CORP              | GB        |    2480000 | PA      | $1990076.00   | 0.09%             | 2030-10-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bond    | SOUTH AFRICA                   | CUSIP: 836205BE3<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |   29605000 | PA      | $25475080.89  | 1.15%             | 2052-04-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| State Oil Co of the Azerbaijan Republic                   | STATE OIL CO AZE               | CUSIP: N/A<br>LEI: 2549002HARR1VE257O76       | Long             | DBT              | CORP              | AZ        |    1335000 | PA      | $1380307.23   | 0.06%             | 2030-03-18      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | PERUSAHAAN LISTR               | CUSIP: N/A<br>LEI: 254900OYVDRYS9J51J61       | Long             | DBT              | CORP              | ID        |    4400000 | PA      | $3400096.21   | 0.15%             | 2031-11-05      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Venezuela Government International Bond                   | VENEZUELA                      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | VE        |    1500000 | PA      | $120000.00    | 0.01%             | 2038-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Export-Import Bank of Korea                               | EXP-IMP BK KOREA               | CUSIP: 302154DP1<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |    9323000 | PA      | $9166481.65   | 0.41%             | 2024-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kazakhstan Temir Zholy National Co JSC                    | KAZAKHSTAN TEMIR               | CUSIP: N/A<br>LEI: 213800X9NVS4IWFKLS77       | Long             | DBT              | CORP              | KZ        |    1750000 | PA      | $1820398.02   | 0.08%             | 2023-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bermuda Government International Bond                     | BERMUDA-GOVT OF                | CUSIP: 085209AJ3<br>LEI: N/A                  | Long             | DBT              | NUSS              | BM        |   22190000 | PA      | $22182427.66  | 1.00%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Oman Government International Bond                        | OMAN INTRNL BOND               | CUSIP: 68205LAT0<br>LEI: N/A                  | Long             | DBT              | NUSS              | OM        |    9512000 | PA      | $9221088.61   | 0.42%             | 2051-01-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                       | MXN/USD FWD 20230103           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-22640.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Globo Comunicacao e Participacoes SA                      | GLOBO COMMUN PAR               | CUSIP: 37959DAC8<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |   11870000 | PA      | $10145098.72  | 0.46%             | 2032-01-14      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Egypt Government International Bond                       | ARAB REP EGYPT                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | EG        |    2300000 | PA      | $1420053.12   | 0.06%             | 2061-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Philippine Government International Bond                  | PHILIPPINES(REP)               | CUSIP: 718286CV7<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |    7960000 | PA      | $8131833.63   | 0.37%             | 2027-10-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Freeport Indonesia PT                                     | FREEPORT INDONES               | CUSIP: 69377FAC0<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    8535000 | PA      | $7450481.36   | 0.34%             | 2052-04-14      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Indonesia Government International Bond                   | INDONESIA (REP)                | CUSIP: 455780DM5<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |   43926000 | PA      | $43167206.90  | 1.94%             | 2027-09-20      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Export-Import Bank of India                               | EX-IM BK OF IN                 | CUSIP: 30216KAE2<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    3000000 | PA      | $2607971.97   | 0.12%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (MALAYS)                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -5560000 | NC      | $47513.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Belarus International Bond                    | REP OF BELARUS                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | BY        |     960000 | PA      | $326400.00    | 0.01%             | 2030-02-28      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Axian Telecom                                             | AXIAN TELECOM                  | CUSIP: 05466AAA1<br>LEI: 984500C6FIA50FZSE337 | Long             | DBT              | CORP              | MU        |    3071000 | PA      | $2678598.12   | 0.12%             | 2027-02-16      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Empresa Nacional del Petroleo                             | EMPRESA NACIONAL               | CUSIP: N/A<br>LEI: 549300YP3P0JZBLIV197       | Long             | DBT              | CORP              | CL        |    3418000 | PA      | $3308726.54   | 0.15%             | 2029-11-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bond    | SOUTH AFRICA                   | CUSIP: 836205BA1<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |   12234000 | PA      | $10895367.95  | 0.49%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Adani Ports & Special Economic Zone Ltd                   | ADANI PORTS AND                | CUSIP: N/A<br>LEI: 335800QOAXP5TM7OYP69       | Long             | DBT              | CORP              | IN        |    4714000 | PA      | $3949633.86   | 0.18%             | 2029-07-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (BRAZIL)                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -16650000 | NC      | $-1077873.70  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (SOAF)                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -1194000 | NC      | $-75430.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eskom Holdings SOC Ltd                                    | ESKOM HOLDINGS                 | CUSIP: EJ7753969<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   15667000 | PA      | $15055512.29  | 0.68%             | 2023-08-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Republic of Cameroon International Bond                   | REP OF CAMEROON                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | CM        |    6192000 | PA      | $4892384.38   | 0.22%             | 2032-07-07      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                       | EURO-BUND FUTURE  Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -357 | NC      | $3148576.31   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    6145000 | PA      | $5608711.78   | 0.25%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond          | ARGENTINA                      | CUSIP: 040114HS2<br>LEI: N/A                  | Long             | DBT              | NUSS              | AR        |   47787558 | PA      | $12937584.36  | 0.58%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                          | US TREASURY N/B                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5075000 | PA      | $4201148.44   | 0.19%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bond    | SOUTH AFRICA                   | CUSIP: 836205AX2<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |    6502000 | PA      | $4781302.72   | 0.22%             | 2047-09-27      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                      | UNITED MEXICAN                 | CUSIP: 91087BAS9<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   31396000 | PA      | $23093263.75  | 1.04%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Eskom Holdings SOC Ltd                                    | ESKOM HOLDINGS                 | CUSIP: AT8996486<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |    1000000 | PA      | $876330.40    | 0.04%             | 2028-08-10      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |    5900000 | PA      | $1147505.75   | 0.05%             | 2031-05-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                       | ARAB REP EGYPT                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | EG        |   20457000 | PA      | $13653820.08  | 0.61%             | 2049-03-01      | Fixed         | 8.70%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |   10557000 | PA      | $2259198.00   | 0.10%             | 2026-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Lebanon Government International Bond                     | LEBANESE REP                   | CUSIP: AQ5804622<br>LEI: N/A                  | Long             | DBT              | NUSS              | LB        |    1445000 | PA      | $84218.21     | 0.00%             | 2031-11-20      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Republic of Uzbekistan International Bond                 | REPUB UZBEKISTAN               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UZ        |   24199000 | PA      | $23641515.54  | 1.06%             | 2024-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | MXN/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $43773.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QBX9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       1000 | PA      | $583.34       | 0.00%             | 2046-01-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Empresa Nacional del Petroleo                             | EMPRESA NACIONAL               | CUSIP: N/A<br>LEI: 549300YP3P0JZBLIV197       | Long             | DBT              | CORP              | CL        |   15771000 | PA      | $14776901.83  | 0.67%             | 2026-08-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | US 10YR NOTE (CBT)Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        627 | NC      | $-132113.44   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eskom Holdings SOC Ltd                                    | ESKOM HOLDINGS                 | CUSIP: EK7413587<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   22247000 | PA      | $20214943.45  | 0.91%             | 2025-02-11      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Ecuador Government International Bond                     | REPUBLIC OF ECUA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | EC        |   36245000 | PA      | $16728560.79  | 0.75%             | 2035-07-31      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Adani Ports & Special Economic Zone Ltd                   | ADANI PORTS A                  | CUSIP: N/A<br>LEI: 335800QOAXP5TM7OYP69       | Long             | DBT              | CORP              | IN        |    4893000 | PA      | $3691311.98   | 0.17%             | 2032-02-02      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Republic of Azerbaijan International Bond                 | REPUBLIC OF AZER               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AZ        |   10500000 | PA      | $8740503.45   | 0.39%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Indonesia Asahan Aluminium Persero PT                     | INDONESIA ASAHAN               | CUSIP: N/A<br>LEI: 2549008P48EB9SN2OI80       | Long             | DBT              | CORP              | ID        |    9856000 | PA      | $8268946.47   | 0.37%             | 2050-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                     | DOMINICAN REPUBL               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | DO        |   13209000 | PA      | $11261772.81  | 0.51%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund         | Vanguard Market Liquidity Fund | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78       | Long             | STIV             | CORP              | US        |  236393650 | NS      | $236370011.11 | 10.64%            |  |  |  | No            |                  1 | On Loan: No      |
| Colombia Government International Bond                    | COLOMBIA REP OF                | CUSIP: 195325DQ5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |   14849000 | PA      | $10154234.44  | 0.46%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                    | PARAGUAY                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | PY        |    1000000 | PA      | $865288.30    | 0.04%             | 2050-03-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                          | US TREASURY N/B                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22400000 | PA      | $17990000.00  | 0.81%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Mexican Bonos                                             | MEXICAN BONOS                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | MX        |  445000000 | PA      | $21531523.62  | 0.97%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Nigeria Government International Bond                     | REP OF NIGERIA                 | CUSIP: 65412JAT0<br>LEI: N/A                  | Long             | DBT              | NUSS              | NG        |   20202000 | PA      | $13443429.99  | 0.61%             | 2051-09-28      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Inversiones CMPC SA                                       | INVERSIONES CMPC               | CUSIP: EK4876877<br>LEI: 549300G475ACIABB4385 | Long             | DBT              | CORP              | CL        |    3980000 | PA      | $3925266.24   | 0.18%             | 2024-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (PHILIP)                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -38470000 | NC      | $18208.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA, REPUBLIC OF (GOVERNMENT)                 | MACEDO 2.75 1/18/2025          | CUSIP: N/A<br>LEI: 529900FA29F5OY2J7P74       | Long             | DBT              | CORP              | MK        |     869000 | PA      | $866013.06    | 0.04%             | 2025-01-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Jordan Government International Bond                      | JORDAN                         | CUSIP: 41809JAA3<br>LEI: N/A                  | Long             | DBT              | NUSS              | JO        |   18000000 | PA      | $18216009.90  | 0.82%             | 2028-01-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | PERUSAHAAN LISTR               | CUSIP: 71568QAE7<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |   19998000 | PA      | $19710888.91  | 0.89%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Republic of Belarus International Bond                    | REP OF BELARUS                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | BY        |    1343000 | PA      | $455277.00    | 0.02%             | 2031-02-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Senegal Government International Bond                     | SENEGAL REP OF                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SN        |   29675000 | PA      | $20840752.50  | 0.94%             | 2048-03-13      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                    | PARAGUAY                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | PY        |   20659000 | PA      | $20653302.25  | 0.93%             | 2023-01-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Namibia International Bonds                               | NAMIBIA REP OF                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | NA        |    4402000 | PA      | $4123246.87   | 0.19%             | 2025-10-29      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                          | US TREASURY N/B                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  132360000 | PA      | $135007200.00 | 6.08%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JSW Infrastructure Ltd                                    | JSW INFRA                      | CUSIP: 46654XAA7<br>LEI: 3358003E3YFK92C9WX80 | Long             | DBT              | CORP              | IN        |    5325000 | PA      | $4557114.39   | 0.21%             | 2029-01-21      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                       | HUF/USD FWD 20230316           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-15559.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Panama Government International Bond                      | PANAMA                         | CUSIP: 698299BL7<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |   48186000 | PA      | $31178829.84  | 1.40%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Corp Financiera de Desarrollo SA                          | COFIDE                         | CUSIP: 21987DAE4<br>LEI: 254900BOM7T4MG6T0J30 | Long             | DBT              | NUSS              | PE        |    1903000 | PA      | $1590220.81   | 0.07%             | 2027-09-28      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| Angolan Government International Bond                     | ANGOLA REP OF                  | CUSIP: 035198AF7<br>LEI: N/A                  | Long             | DBT              | NUSS              | AO        |   12500000 | PA      | $10819975.38  | 0.49%             | 2032-04-14      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic International Bond                     | DOMINICAN REPUBL               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | DO        |    3110000 | PA      | $3046433.78   | 0.14%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Finance Department Government of Sharjah                  | FIN DEPT SHARJAH               | CUSIP: 38381CAB8<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |    2646000 | PA      | $1736327.27   | 0.08%             | 2050-07-28      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Korea Development Bank/The                                | KOREA DEV BANK                 | CUSIP: 500630DT2<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |    2050000 | PA      | $1995815.73   | 0.09%             | 2025-09-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                     | DOMINICAN REPUBL               | CUSIP: 25714PEP9<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |   33445000 | PA      | $30774100.03  | 1.39%             | 2029-02-22      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Freeport Indonesia PT                                     | FREEPORT INDONES               | CUSIP: N/A<br>LEI: 549300T4HTQHRKLNE619       | Long             | DBT              | CORP              | ID        |    4704000 | PA      | $4337464.32   | 0.20%             | 2032-04-14      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Oman Government International Bond                        | OMAN INTRNL BOND               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | OM        |   11613000 | PA      | $11214069.06  | 0.50%             | 2051-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Tunisian Republic                                         | TUNISIAN REPUB                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | TN        |   13250000 | PA      | $9099216.23   | 0.41%             | 2025-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bond                     | HUNGARY                        | CUSIP: 445545AH9<br>LEI: N/A                  | Long             | DBT              | NUSS              | HU        |       1000 | PA      | $1000.12      | 0.00%             | 2023-02-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co                                      | SAUDI ARAB OIL                 | CUSIP: N/A<br>LEI: 5586006WD91QHB7J4X50       | Long             | DBT              | CORP              | SA        |   10280000 | PA      | $9963440.76   | 0.45%             | 2024-04-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Mongolia Government International Bond                    | MONGOLIA                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | MN        |    6263000 | PA      | $6095287.51   | 0.27%             | 2023-05-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                     | DOMINICAN REPUBL               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | DO        |    6000000 | PA      | $6063645.00   | 0.27%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co JSC                               | KAZMUNAYGAS NAT                | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |     400000 | PA      | $357252.88    | 0.02%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                    | ROMANIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RO        |   19185000 | PA      | $14243068.68  | 0.64%             | 2030-07-13      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                       | EURO-BOBL FUTURE  Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -342 | NC      | $1318011.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| El Salvador Government International Bond                 | EL SALVADOR REP                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SV        |    6855000 | PA      | $3005631.65   | 0.14%             | 2052-07-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| QatarEnergy Trading LLC                                   | QATAR ENERGY                   | CUSIP: N/A<br>LEI: 254900QTESJKJ3P87J26       | Long             | DBT              | CORP              | QA        |    9825000 | PA      | $7222147.25   | 0.33%             | 2051-07-12      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LEBANON (REPUBLIC OF)                                     | LEBAN 4/12/2021                | CUSIP: N/A<br>LEI: 529900QPC4K9S1KHL354       | Long             | DBT              | CORP              | LB        |    2430000 | PA      | $285525.00    | 0.01%             | 2021-04-12      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Uzbekneftegaz JSC                                         | UZBEKNEFTEGAZ                  | CUSIP: 91825MAB9<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | NUSS              | UZ        |   27361000 | PA      | $21920609.90  | 0.99%             | 2028-11-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd                          | GALAXY PIPELINE                | CUSIP: N/A<br>LEI: 549300L82YB0C6JQIC26       | Long             | DBT              | CORP              | JE        |   20010000 | PA      | $16090773.37  | 0.72%             | 2036-03-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bond                   | REP OF SRI LANKA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LK        |   14755000 | PA      | $4468871.93   | 0.20%             | 2029-03-14      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bond                      | PANAMA                         | CUSIP: 698299BE3<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |    6568000 | PA      | $6352293.94   | 0.29%             | 2025-03-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bond                   | REP OF SRI LANKA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LK        |    8504000 | PA      | $2726949.62   | 0.12%             | 2025-06-03      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   26768000 | PA      | $24466180.06  | 1.10%             | 2027-01-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co JSC                               | KAZMUNAYGAS NAT                | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |   13500000 | PA      | $11070000.00  | 0.50%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                       | ARAB REP EGYPT                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | EG        |   18198000 | PA      | $12222481.06  | 0.55%             | 2051-09-30      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Nigeria Government International Bond                     | REP OF NIGERIA                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | NG        |   10532000 | PA      | $7953701.10   | 0.36%             | 2032-02-16      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Morocco Government International Bond                     | MOROCCO KINGDOM                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | MA        |   10430000 | PA      | $8804042.86   | 0.40%             | 2030-09-30      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Tullow Oil PLC                                            | TULLOW OIL PLC                 | CUSIP: N/A<br>LEI: 2138003EYHWO75RKS857       | Long             | DBT              | CORP              | GB        |     800000 | PA      | $482174.96    | 0.02%             | 2025-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Network i2i Ltd                                           | NETWORK I2I LTD                | CUSIP: N/A<br>LEI: 2549003L8M1FGHLHOX45       | Long             | DBT              | CORP              | MU        |    2400000 | PA      | $2285530.08   | 0.10%             | 2171-04-15      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                    | ROMANIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RO        |    4600000 | PA      | $4092266.09   | 0.18%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| COTE D IVOIRE (REPUBLIC OF)                               | IVYCST 6.625 3/22/2048         | CUSIP: 221625AR7<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | CORP              | CI        |   10599000 | PA      | $7962985.67   | 0.36%             | 2048-03-22      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                       | JPY/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5265.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ecuador Government International Bond                     | REPUBLIC OF ECUA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | EC        |   35369699 | PA      | $22727453.72  | 1.02%             | 2030-07-31      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc    | JBS USA/FOOD/FIN               | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   19341000 | PA      | $18477955.26  | 0.83%             | 2033-04-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QAZ5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4000000 | PA      | $2596297.88   | 0.12%             | 2041-06-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (COLOM)                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   14280000 | NC      | $834489.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | BRL/USD FWD 20230103           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-140084.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Adani Ports & Special Economic Zone Ltd                   | ADANI PORTS A                  | CUSIP: N/A<br>LEI: 335800QOAXP5TM7OYP69       | Long             | DBT              | CORP              | IN        |    3643000 | PA      | $2671575.11   | 0.12%             | 2031-02-02      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Georgia Government International Bond                     | GEORGIA REP OF                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | GE        |    5000000 | PA      | $4504673.00   | 0.20%             | 2026-04-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Pakistan Government International Bond                    | REP OF PAKISTAN                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | PK        |   31846000 | PA      | $10985542.02  | 0.49%             | 2051-04-08      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                    | ROMANIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RO        |    5771000 | PA      | $3438186.88   | 0.15%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fondo MIVIVIENDA SA                                       | FONDO MIVIVIE SA               | CUSIP: 344593AF5<br>LEI: 549300X41PNOK11PZ670 | Long             | DBT              | NUSS              | PE        |    4356000 | PA      | $4113438.49   | 0.19%             | 2027-04-12      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Development Bank of Kazakhstan JSC                        | KAZAKH DEVELOPME               | CUSIP: 25159XAC7<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        | 3450000000 | PA      | $6330755.22   | 0.29%             | 2026-05-06      | Fixed         | 10.95%                | Yes           |                  2 | On Loan: No      |
| Thaioil Treasury Center Co Ltd                            | THAIOIL TRSRY                  | CUSIP: 88323AAD4<br>LEI: 549300NH03B9E8VGJR89 | Long             | DBT              | CORP              | TH        |    5000000 | PA      | $3987450.45   | 0.18%             | 2048-11-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Saudi Government International Bond                       | SAUDI INT BOND                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SA        |    4100000 | PA      | $3663811.25   | 0.16%             | 2047-10-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Finance Department Government of Sharjah                  | FIN DEPT SHARJAH               | CUSIP: N/A<br>LEI: 254900ZNL8O3F1CLJO24       | Long             | DBT              | NUSS              | AE        |    4060000 | PA      | $2725275.00   | 0.12%             | 2051-03-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | EURO-SCHATZ FUT   Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -858 | NC      | $1044695.21   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Sri Lanka Government International Bond                   | REP OF SRI LANKA               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LK        |   12679000 | PA      | $3913848.81   | 0.18%             | 2026-07-18      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Petroleos de Venezuela SA                                 | PETROLEOS DE VEN               | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | VE        |    2850000 | PA      | $135375.00    | 0.01%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QBG6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    7850000 | PA      | $7825191.49   | 0.35%             | 2023-01-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morocco Government International Bond                     | MOROCCO KINGDOM                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | MA        |   16713000 | PA      | $11402940.63  | 0.51%             | 2050-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | MXN/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-442160.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | SCDS: (CHILE)                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -15730000 | NC      | $-61830.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Serbia International Bond                                 | SERBIA REPUBLIC                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | RS        |   43998000 | PA      | $40321101.63  | 1.82%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond          | ARGENTINA                      | CUSIP: 040114HX1<br>LEI: N/A                  | Long             | DBT              | NUSS              | AR        |     925768 | PA      | $246888.88    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                 | IVORY COAST-PDI                | CUSIP: ZQ0630710<br>LEI: N/A                  | Long             | DBT              | NUSS              | CI        |    2815000 | PA      | $2254520.94   | 0.10%             | 2040-10-17      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Brazilian Government International Bond                   | BRAZIL REP OF                  | CUSIP: 105756CB4<br>LEI: N/A                  | Long             | DBT              | NUSS              | BR        |    5000000 | PA      | $3490316.45   | 0.16%             | 2050-01-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | US LONG BOND(CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         97 | NC      | $-94062.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Croatia Government International Bond                     | CROATIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | HR        |    8000000 | PA      | $7998376.00   | 0.36%             | 2023-04-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | PERUSAHAAN LISTR               | CUSIP: 71568QAJ6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    3000000 | PA      | $2661605.04   | 0.12%             | 2029-07-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Lebanon Government International Bond                     | LEBANESE REP                   | CUSIP: AS8296236<br>LEI: N/A                  | Long             | DBT              | NUSS              | LB        |    1445000 | PA      | $83740.50     | 0.00%             | 2033-05-17      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | PERUSAHAAN LISTR               | CUSIP: 71568QAC1<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    6497000 | PA      | $6147523.77   | 0.28%             | 2027-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Kazakhstan Government International Bond                  | KAZAKHSTAN                     | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | KZ        |    2363000 | PA      | $2106888.61   | 0.09%             | 2044-10-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ukreximbank Via Biz Finance PLC                           | UKREXIMBANK                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |      62500 | PA      | $23230.00     | 0.00%             | 2025-01-22      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Republic of Kenya Government International Bond           | KENYA REP OF                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | KE        |    7000000 | PA      | $6134779.70   | 0.28%             | 2028-02-28      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Empresa Nacional del Petroleo                             | EMPRESA NACIONAL               | CUSIP: N/A<br>LEI: 549300YP3P0JZBLIV197       | Long             | DBT              | CORP              | CL        |    7709000 | PA      | $7510493.25   | 0.34%             | 2024-10-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Antofagasta PLC                                           | ANTOFAGASTA                    | CUSIP: 03718NAB2<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |   11225000 | PA      | $11102308.17  | 0.50%             | 2032-05-13      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Croatia Government International Bond                     | CROATIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | HR        |    4616000 | PA      | $4593565.50   | 0.21%             | 2030-01-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2137000 | PA      | $1323427.50   | 0.06%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |     501000 | PA      | $106969.76    | 0.00%             | 2030-11-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bond                   | INDONESIA (REP)                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | ID        |   15123000 | PA      | $17077913.91  | 0.77%             | 2037-02-17      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    7640000 | PA      | $5797372.35   | 0.26%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| El Salvador Government International Bond                 | EL SALVADOR REP                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SV        |   14836000 | PA      | $6498786.66   | 0.29%             | 2029-02-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bond    | SOUTH AFRICA                   | CUSIP: 836205BB9<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |   31206000 | PA      | $22910503.40  | 1.03%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bond          | REP OF POLAND                  | CUSIP: 857524AD4<br>LEI: N/A                  | Long             | DBT              | NUSS              | PL        |   14950000 | PA      | $15357741.96  | 0.69%             | 2027-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |   12465000 | PA      | $2575060.83   | 0.12%             | 2028-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Venezuela Government International Bond                   | VENEZUELA                      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | VE        |     640000 | PA      | $51200.00     | 0.00%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Turkey Government International Bond                      | TURKEY REP OF                  | CUSIP: 900123CM0<br>LEI: N/A                  | Long             | DBT              | NUSS              | TR        |   10950000 | PA      | $7447454.38   | 0.34%             | 2047-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of Kenya Government International Bond           | KENYA REP OF                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | KE        |   11068000 | PA      | $9897760.44   | 0.45%             | 2027-05-22      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Lebanon Government International Bond                     | LEBANESE REP                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LB        |    2890000 | PA      | $162233.04    | 0.01%             | 2024-04-22      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | TRY/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $42391.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |   22715000 | PA      | $4885144.69   | 0.22%             | 2027-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | CNH/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-77911.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                       | BRL/USD FWD 20230103           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $97840.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Peruvian Government International Bond                    | REPUBLIC OF PERU               | CUSIP: 715638DA7<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |   10600000 | PA      | $8985997.89   | 0.40%             | 2030-06-20      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| UAE INTERNATIONAL GOVERNMENT BOND                         | UAE INTL BOND                  | CUSIP: 31424EAE2<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |   45930000 | PA      | $45882240.61  | 2.07%             | 2052-07-07      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Lebanon Government International Bond                     | LEBANESE REP                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LB        |    6310000 | PA      | $370324.44    | 0.02%             | 2028-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Adani Ports & Special Economic Zone Ltd                   | ADANI PORTS AND                | CUSIP: N/A<br>LEI: 335800QOAXP5TM7OYP69       | Long             | DBT              | CORP              | IN        |    2343000 | PA      | $2062115.54   | 0.09%             | 2027-08-04      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| El Salvador Government International Bond                 | EL SALVADOR REP                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SV        |   21740000 | PA      | $8438770.15   | 0.38%             | 2050-01-20      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Bermuda Government International Bond                     | BERMUDA-GOVT OF                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | BM        |    3480000 | PA      | $3461453.34   | 0.16%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    6550000 | PA      | $4766664.12   | 0.21%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | TWD/USD FWD 20230119           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $37771.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hungary Government International Bond                     | HUNGARY                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | HU        |    6800000 | PA      | $5195277.39   | 0.23%             | 2032-04-28      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Empresa de los Ferrocarriles del Estado                   | EFE                            | CUSIP: 292487AB1<br>LEI: 8755006LY8XNRFOGWN86 | Long             | DBT              | CORP              | CL        |    4356000 | PA      | $3032723.04   | 0.14%             | 2061-09-14      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | PETROLEOS MEXICA               | CUSIP: 71654QCD2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2716000 | PA      | $2669879.03   | 0.12%             | 2023-09-21      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | TRY/USD FWD 20230315           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-957642.61   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Embraer Netherlands Finance BV                            | EMBRAER NL FINAN               | CUSIP: N/A<br>LEI: 724500PBR8LR26XBSP67       | Long             | DBT              | CORP              | NL        |   17258000 | PA      | $17223861.95  | 0.78%             | 2028-01-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Philippine Government International Bond                  | PHILIPPINES(REP)               | CUSIP: 718286CT2<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |    2896000 | PA      | $3057021.54   | 0.14%             | 2033-04-13      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Petronas Capital Ltd                                      | PETRONAS CAP LTD               | CUSIP: BH7872303<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |   41486000 | PA      | $37824487.13  | 1.70%             | 2030-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                       | ARAB REP EGYPT                 | CUSIP: ZQ5986240<br>LEI: N/A                  | Long             | DBT              | NUSS              | EG        |   16204000 | PA      | $10585752.36  | 0.48%             | 2059-11-20      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bond                     | UKRAINE GOVT                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | UA        |   11800000 | PA      | $2688432.94   | 0.12%             | 2025-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | US 5YR NOTE (CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        143 | NC      | $-11205.96    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                       | US 2YR NOTE (CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -1712 | NC      | $1103714.22   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Lebanon Government International Bond                     | LEBANESE REP                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | LB        |    2250000 | PA      | $129867.75    | 0.01%             | 2022-10-04      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GC Treasury Center Co Ltd                                 | GC TREASURY                    | CUSIP: 36830DAD3<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |    2100000 | PA      | $1850219.55   | 0.08%             | 2032-03-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Senegal Government International Bond                     | SENEGAL REP OF                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | SN        |    5046000 | PA      | $4162432.28   | 0.19%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Croatia Government International Bond                     | CROATIA                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | HR        |   14019000 | PA      | $12393834.34  | 0.56%             | 2031-06-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** VANGUARD MALVERN FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer