# EDGAR Filing Document

**Accession Number:** 0000702533
**File Stem:** 0001752724-23-034775
**Filing Date:** 2023-2
**Character Count:** 105818
**Document Hash:** 26cd1d5905f37a1f0c19d2556c81a042
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034775.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034775

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY HANOVER STREET TRUST
- **CENTRAL INDEX KEY:** 0000702533
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03466
- **FILM NUMBER:** 23656824

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY ADVISOR SERIES III
- **DATE OF NAME CHANGE:** 19930630

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FRANKLIN STREET TRUST
- **DATE OF NAME CHANGE:** 19920819

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY ADVISOR EQUITY PORTFOLIO INCOME
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Fidelity Emerging Markets Debt Local Currency Central Fund (Series ID: S000069653)

| Class ID   | Class Name                                                 | Ticker Symbol   |
|:---|:---|:---|
| C000222143 | Fidelity Emerging Markets Debt Local Currency Central Fund |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-03466

- **c. CIK number of Registrant:** 0000702533

- **d. LEI of Registrant:** 13LNM41WRMGAYS9Y7N22

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

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

- **b. EDGAR series identifier (if any):** S000069653

- **c. LEI of Series:** 549300KILRIY7MLU0D16

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $86842474.64

**Total Liabilities:** $5452.18

**Net Assets:** $86837022.46

**Cash Not Reported:** $863072.70

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 83.85697809 | **1-Year:** 1626.12504931 | **5-Year:** 5577.28320212 | **10-Year:** 6673.36876851 | **30-Year:** 1195.10607208

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

- **3-Month:** 111.29097833 | **1-Year:** 1723.91554241 | **5-Year:** 5531.51183613 | **10-Year:** 10804.24658814 | **30-Year:** 3010.61843119

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000222143 | -0.35%               | 7.29%                | 1.96%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-316197.73              | $-361741.39                                |
| Month 2  | $-406915.28              | $2372707.27                                |
| Month 3  | $-385070.76              | $369152.84                                 |

**Designated Index Information**

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

- **Index Identifier:** 19808102

### Schedule of Portfolio Investments

| Name                                    | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PHILIPPINES REPUBLIC OF                 | PHILIPPINES REPUBLIC OF 6.25% 01/14/2036                    | CUSIP: 718286BM8<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    10000000 | PA      | $162859.20    | 0.19%             | 2036-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 8.5% 05/31/2029                | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    43000000 | PA      | $2142866.98   | 2.47%             | 2029-05-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CHINA PEOPLES REPUBLIC OF               | CHINA PEOPLES REPUBLIC OF 2.68% 05/21/2030                  | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |    22500000 | PA      | $3225245.81   | 3.71%             | 2030-05-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: PEN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $10559.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5610.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: TRY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1888.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $115.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 3.65% 09/24/2031                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     4125000 | PA      | $668110.96    | 0.77%             | 2031-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12802.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 6% 04/28/2028                          | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  1000000000 | PA      | $153413.78    | 0.18%             | 2028-04-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2700.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3804.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/PHP settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $860.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-908.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2720.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $329.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $93802.88     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $7521.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 3.828% 07/05/2034                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     3650000 | PA      | $799884.45    | 0.92%             | 2034-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 5.75% 03/05/2026               | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    53750000 | PA      | $2492831.58   | 2.87%             | 2026-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-14083.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 8.875% 02/28/2035                  | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    29000000 | PA      | $1438595.25   | 1.66%             | 2035-02-28      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-26859.87    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/MXN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4835.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $7581.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.375% 09/15/2026                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        | 32400000000 | PA      | $2211337.72   | 2.55%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/TRY settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2319.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: EGP/USD settle 2023-01-17                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-48884.65    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 1.25% 10/25/2030                         | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     1200000 | PA      | $184003.56    | 0.21%             | 2030-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/INR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $819.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $850.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/CNY settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8781.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL       | BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2024             | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |      275000 | PA      | $43436.29     | 0.05%             | 2024-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $15160.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1522.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF               | EGYPT (ARAB) REPUBLIC OF 16.1% 05/07/2029                   | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     2500000 | PA      | $88264.83     | 0.10%             | 2029-05-07      | Fixed         | 0.16%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $151534.59    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16841.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1125.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 5.75% 11/03/2027                       | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  3350000000 | PA      | $520844.50    | 0.60%             | 2027-11-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 7.5% 08/26/2026                        | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  3400000000 | PA      | $597437.09    | 0.69%             | 2026-08-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $8391.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9249.28     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL       | BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2023             | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |    11000000 | PA      | $1954747.14   | 2.25%             | 2023-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4297.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2114.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $30977.18     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 2.25% 06/22/2034                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |   100000000 | PA      | $148103.94    | 0.17%             | 2034-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 4% 10/25/2023                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     2000000 | PA      | $423835.11    | 0.49%             | 2023-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1770.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $9962.17      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 3% 06/26/2024                           | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |    75000000 | PA      | $177303.20    | 0.20%             | 2024-06-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $80560.68     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $9384.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.25% 05/15/2036                      | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |   250000000 | PA      | $17432.15     | 0.02%             | 2036-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $8882.51      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $19856.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11198.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6462.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $22689.33     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3457.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: BRL/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $12889.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $69.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: INR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $734.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5618.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2730.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1102.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15013.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 2.5% 07/25/2026                          | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     7850000 | PA      | $1547872.69   | 1.78%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $461715.37    | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6465.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3387.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8702.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $8924.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9606.14     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: INR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $941.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-317.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16161.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                | NOTA DO TESOURO NACIONAL 10% 01/01/2029                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     3750000 | PA      | $634984.40    | 0.73%             | 2029-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $7770.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 3.25% 10/22/2031                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |   137500000 | PA      | $241323.15    | 0.28%             | 2031-10-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3128.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 2.875% 06/17/2046                       | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |     9200000 | PA      | $234077.17    | 0.27%             | 2046-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 3.582% 07/15/2032                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     4000000 | PA      | $874642.45    | 1.01%             | 2032-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-6622.67     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17000.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $21805.95     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                       | CHILE REPUBLIC OF 4.5% 03/01/2026                           | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   495000000 | PA      | $557596.30    | 0.64%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTER AMERICAN DEV BANK                 | INTER AMERICAN DEV BANK 5.7% 11/12/2024                     | CUSIP: N/A<br>LEI: VKU1UKDS9E7LYLMACP54       | Long             | DBT              | CORP              | US        |    20000000 | PA      | $234209.37    | 0.27%             | 2024-11-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 2% 12/17/2031                           | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    38750000 | PA      | $1083556.27   | 1.25%             | 2031-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1195.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-23485.74    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: PEN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6503.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4421.91     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 8% 01/31/2030                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    64750000 | PA      | $3397233.62   | 3.91%             | 2030-01-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3022.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.25% 05/15/2029                      | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        | 26000000000 | PA      | $1790396.66   | 2.06%             | 2029-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: TRY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3167.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $7859.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/SGD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36847.33    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1185.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1624.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 4.065% 06/15/2050                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     3750000 | PA      | $774900.68    | 0.89%             | 2050-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                          | CZECH REPUBLIC 2% 10/13/2033                                | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |    30750000 | PA      | $1020507.47   | 1.18%             | 2033-10-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-296.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3729.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                      | DOMINICAN REPUBLIC 8.9% 02/15/2023 REGS                     | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |    25500000 | PA      | $449154.42    | 0.52%             | 2023-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                          | CZECH REPUBLIC 0.95% 05/15/2030 REGS                        | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |    31250000 | PA      | $1038158.94   | 1.20%             | 2030-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5930.66     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17995.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $4318.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 9.25% 05/28/2042                       | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  3325000000 | PA      | $493990.20    | 0.57%             | 2042-05-28      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $12431.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $28355.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 7.75% 11/13/2042               | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    44750000 | PA      | $2006177.42   | 2.31%             | 2042-11-13      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-307.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $1395.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7202.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-37765.84    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 8% 07/31/2053                  | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     4500000 | PA      | $204985.37    | 0.24%             | 2053-07-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5550.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/MYR settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-29710.58    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6849.57      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $13183.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5945.05     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4750.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                      | TURKEY REPUBLIC OF 12.4% 03/08/2028                         | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     4000000 | PA      | $252696.87    | 0.29%             | 2028-03-08      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/MXN settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1918.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $20500.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16981.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                       | PERU REPUBLIC OF 5.4% 08/12/2034                            | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     2250000 | PA      | $474084.94    | 0.55%             | 2034-08-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1832.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                | NOTA DO TESOURO NACIONAL 10% 01/01/2033                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     1650000 | PA      | $268176.76    | 0.31%             | 2033-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1080.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 3.3% 06/17/2038                         | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    35750000 | PA      | $1036536.74   | 1.19%             | 2038-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $10400.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY          | URUGUAY REPUBLICA ORIENTAL DL 8.25% 05/21/2031              | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     6500000 | PA      | $140676.05    | 0.16%             | 2031-05-21      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CHINA PEOPLES REPUBLIC OF               | CHINA PEOPLES REPUBLIC OF 2.88% 11/05/2023                  | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |    11750000 | PA      | $1712838.51   | 1.97%             | 2023-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7949.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $2256.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 6.375% 04/15/2032                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  6500000000 | PA      | $400835.07    | 0.46%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $8392.11      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 1.6% 06/17/2035                         | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    36250000 | PA      | $898012.20    | 1.03%             | 2035-06-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27844.75    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL       | BRAZIL LETRAS DO TESOURO NACIONAL 0% 01/01/2026             | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |      325000 | PA      | $42957.40     | 0.05%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: PEN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1334.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/INR settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $1904.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA PEOPLES REPUBLIC OF               | CHINA PEOPLES REPUBLIC OF 3.81% 09/14/2050                  | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |     3300000 | PA      | $523098.27    | 0.60%             | 2050-09-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 3% 10/27/2038                           | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |   235000000 | PA      | $332940.21    | 0.38%             | 2038-10-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 7.5% 04/15/2040                       | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        | 12000000000 | PA      | $788951.34    | 0.91%             | 2040-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                       | PERU REPUBLIC OF 6.95% 08/12/2031                           | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     1750000 | PA      | $434262.26    | 0.50%             | 2031-08-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.375% 03/15/2034                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        | 18800000000 | PA      | $1319955.03   | 1.52%             | 2034-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: USD/MXN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6707.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-5707.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-9112.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $4275.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $405.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KAZAKHSTAN REPUBLIC OF                  | KAZAKHSTAN REPUBLIC OF 10.5% 08/04/2026                     | CUSIP: N/A<br>LEI: 5493007OEK8EF02UO833       | Long             | DBT              | NUSS              | KZ        |    90000000 | PA      | $174589.64    | 0.20%             | 2026-08-04      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6837.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1164.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1624.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZILIAN GOVERNMENT INTERNATIONAL BOND | BRAZILIAN GOVERNMENT INTERNATIONAL BOND 10% 01/01/2025      | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |    13250000 | PA      | $2400107.72   | 2.76%             | 2025-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-20.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/PHP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-26985.58    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: BRL/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $803.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/COP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/MXN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14900.68    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                | NOTA DO TESOURO NACIONAL 10% 01/01/2027                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     4250000 | PA      | $743181.25    | 0.86%             | 2027-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 2% 06/17/2042                           | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    10000000 | PA      | $231166.84    | 0.27%             | 2042-06-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-24136.97    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 3.757% 05/22/2040                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     1750000 | PA      | $365736.10    | 0.42%             | 2040-05-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 2.75% 10/25/2029                         | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     4600000 | PA      | $825235.60    | 0.95%             | 2029-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19825.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: BRL/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5377.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10341.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 3.885% 08/15/2029                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     2675000 | PA      | $601331.50    | 0.69%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2835.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 4.696% 10/15/2042                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     1750000 | PA      | $412169.69    | 0.47%             | 2042-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5170.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust            | Fidelity Cash Central Fund                                  | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |    13346341 | NS      | $13349010.67  | 15.37%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $17049.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: PHP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $870.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: HUF/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5281.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                       | PERU REPUBLIC OF 5.35% 08/12/2040                           | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |      500000 | PA      | $98079.54     | 0.11%             | 2040-08-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                    | FX Forward: SGD/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $49168.77     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: CLP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $21457.38     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4344.29      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4947.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-70521.69    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CNY/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $897.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $17973.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL       | BRAZIL LETRAS DO TESOURO NACIONAL 0% 01/01/2024             | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |    11750000 | PA      | $1964546.14   | 2.26%             | 2024-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6075.14      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: BRL/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-754.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 2.75% 12/22/2026                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |   217000000 | PA      | $434238.53    | 0.50%             | 2026-12-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/MYR settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1250.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1415.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                      | TURKEY REPUBLIC OF 11% 02/24/2027                           | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |      750000 | PA      | $44874.28     | 0.05%             | 2027-02-24      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 6.5% 02/28/2041                    | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    32000000 | PA      | $1177832.97   | 1.36%             | 2041-02-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF               | EGYPT (ARAB) REPUBLIC OF 14.556% 10/13/2027                 | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     7000000 | PA      | $240122.14    | 0.28%             | 2027-10-13      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11662.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-686.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2086.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE      | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $66004.23     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-53043.41    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/RON settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-9752.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2025.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.         | FX Forward: USD/CZK settle 2023-01-13                       | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2277.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $338.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                       | CHILE REPUBLIC OF 4.7% 09/01/2030 144A REGS                 | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   350000000 | PA      | $397328.46    | 0.46%             | 2030-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                      | TURKEY REPUBLIC OF 8% 03/12/2025                            | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     7250000 | PA      | $377574.89    | 0.43%             | 2025-03-12      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $21053.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT OF                        | MALAYSIA GOVT OF 4.762% 04/07/2037                          | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     1300000 | PA      | $310931.67    | 0.36%             | 2037-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $13223.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 1.75% 04/25/2032                         | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     4250000 | PA      | $636983.46    | 0.73%             | 2032-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $15411.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $18730.15     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 10% 07/24/2024                         | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |   400000000 | PA      | $80323.23     | 0.09%             | 2024-07-24      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/HUF settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-20834.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 4.25% 06/28/2023                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     3750000 | PA      | $802249.64    | 0.92%             | 2023-06-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                      | POLAND REPUBLIC OF 2.5% 07/25/2027                          | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     4000000 | PA      | $760651.40    | 0.88%             | 2027-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                       | CHILE REPUBLIC OF 5% 03/01/2035                             | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   455000000 | PA      | $530290.28    | 0.61%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                | NOTA DO TESOURO NACIONAL 10% 01/01/2031                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |     3500000 | PA      | $578326.95    | 0.67%             | 2031-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6674.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 7% 06/30/2032                          | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  5800000000 | PA      | $809607.26    | 0.93%             | 2032-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: IDR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-466.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: RON/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $81507.91     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $9494.19      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 5% 02/12/2029                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     3400000 | PA      | $637226.57    | 0.73%             | 2029-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: ZAR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5951.43      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                    | COLOMBIA REPUBLIC OF 7.25% 10/26/2050                       | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  1650000000 | PA      | $192402.15    | 0.22%             | 2050-10-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: USD/TRY settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-997.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $23955.23     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: CZK/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $156478.34    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.125% 05/15/2024                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  2500000000 | PA      | $165248.11    | 0.19%             | 2024-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4164.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                          | CZECH REPUBLIC 1.5% 04/24/2040                              | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |     3150000 | PA      | $82912.45     | 0.10%             | 2040-04-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7830.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: THB/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-624.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 7.75% 11/23/2034               | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      250000 | PA      | $11588.54     | 0.01%             | 2034-11-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: INR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $270.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 7.125% 06/15/2042                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  3000000000 | PA      | $192468.28    | 0.22%             | 2042-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTER AMERICAN DEV BANK                 | INTER AMERICAN DEV BANK 5.1% 11/17/2026                     | CUSIP: N/A<br>LEI: VKU1UKDS9E7LYLMACP54       | Long             | DBT              | CORP              | US        |  5000000000 | PA      | $308723.30    | 0.36%             | 2026-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1750.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                          | CZECH REPUBLIC 1.2% 03/13/2031                              | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |    25000000 | PA      | $824946.13    | 0.95%             | 2031-03-13      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 6.5% 06/15/2025                       | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        | 15750000000 | PA      | $1015770.03   | 1.17%             | 2025-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/CLP settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13509.85    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7719.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                       | CHILE REPUBLIC OF 6% 01/01/2043                             | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   225000000 | PA      | $292611.78    | 0.34%             | 2043-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                  | FX Forward: MXN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3014.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                        | FX Forward: USD/PLN settle 2023-01-13                       | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5875.10     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                   | INDONESIA REPUBLIC OF 8.375% 04/15/2039                     | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |  9250000000 | PA      | $654496.55    | 0.75%             | 2039-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                     | HUNGARY REPUBLIC OF 6.75% 10/22/2028                        | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |   198000000 | PA      | $459110.93    | 0.53%             | 2028-10-22      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/INR settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5306.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                             | FX Forward: USD/PHP settle 2023-01-13                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-189.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                      | TURKEY REPUBLIC OF 11.7% 11/13/2030                         | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     2750000 | PA      | $185124.78    | 0.21%             | 2030-11-13      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $878.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/SGD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10906.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 4.75% 10/11/2034                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      750000 | PA      | $118478.81    | 0.14%             | 2034-10-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/ZAR settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14988.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                          | FX Forward: USD/BRL settle 2023-01-13                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8651.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                    | ROMANIA REPUBLIC OF 5.8% 07/26/2027                         | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      500000 | PA      | $100435.41    | 0.12%             | 2027-07-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 7% 02/28/2031                      | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |     9000000 | PA      | $427648.85    | 0.49%             | 2031-02-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHINA PEOPLES REPUBLIC OF               | CHINA PEOPLES REPUBLIC OF 3.28% 12/03/2027                  | CUSIP: N/A<br>LEI: 300300CHN201808MOF68       | Long             | DBT              | NUSS              | CN        |    20000000 | PA      | $2983495.49   | 3.44%             | 2027-12-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE      | FX Forward: PLN/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $1365.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 1.6% 12/17/2029                         | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |     8000000 | PA      | $221743.16    | 0.26%             | 2029-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ASIAN INFRASTRUCTURE INVESTMENT BANK    | ASIAN INFRASTRUCTURE INVESTMENT BANK 2.375% 02/10/2025 REGS | CUSIP: N/A<br>LEI: 25490065OSV2524LCR32       | Long             | DBT              | CORP              | CN        |    19400000 | PA      | $320228.92    | 0.37%             | 2025-02-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES            | MEXICO UNITED MEXICAN STATES 8% 12/07/2023                  | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    31750000 | PA      | $1588856.42   | 1.83%             | 2023-12-07      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: MYR/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6731.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                   | FX Forward: USD/INR settle 2023-01-13                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $860.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                | SOUTH AFRICA REPUBLIC OF 8.75% 02/28/2048                   | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    29500000 | PA      | $1357179.87   | 1.56%             | 2048-02-28      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: USD/IDR settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11151.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                       | PERU REPUBLIC OF 6.35% 08/12/2028                           | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |     2825000 | PA      | $706804.70    | 0.81%             | 2028-08-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY      | FX Forward: USD/THB settle 2023-01-13                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11714.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY     | FX Forward: COP/USD settle 2023-01-13                       | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $972.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND KINGDOM OF                     | THAILAND KINGDOM OF 1.585% 12/17/2035                       | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    10000000 | PA      | $246732.35    | 0.28%             | 2035-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Stacie M. Smith

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

**Title:** President and Treasurer