0001752724-22-044243.txt : 20220224
0001752724-22-044243.hdr.sgml : 20220224
20220224154157
ACCESSION NUMBER: 0001752724-22-044243
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220224
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY HASTINGS STREET TRUST
CENTRAL INDEX KEY: 0000035348
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-00215
FILM NUMBER: 22670600
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02110
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY FUND
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY FUND INC
DATE OF NAME CHANGE: 19851205
0000035348
S000069413
Fidelity Series Emerging Markets Debt Local Currency Fund
C000221495
Fidelity Series Emerging Markets Debt Local Currency Fund
FSEDX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000035348
XXXXXXXX
S000069413
C000221495
Fidelity Hastings Street Trust
811-00215
0000035348
5IETULY5BBOQWX17XY97
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Series Emerging Markets Debt Local Currency Fund
S000069413
54930092TT4TRKVUCK15
2021-12-31
2021-12-31
N
486930060.61
572721.96
486357338.65
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
5508013.51000000
BRL
CLP
CNY
COP
CZK
HUF
IDR
MXN
MYR
PEN
PLN
RON
RUB
THB
TRY
ZAR
N
PHILIPPINES REPUBLIC OF
529900RAHBALMYIJ3T08
PHILIPPINE GOVT 6.25% 1/14/36
718286BM8
30000000.00000000
PA
650571.06000000
0.133764006071
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
0.06250000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/MXN settle 2022-02-17
N/A
1.00000000
NC
N/A
-70995.46000000
-0.01459738639
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
26909000.00000000
MXN
1233260.14000000
USD
2022-02-17
-70995.46000000
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO GOVT 8.5% 5/31/29
N/A
183000000.00000000
PA
9468153.04000000
1.946748262559
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
0.08500000
N
N
N
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 2.68% 05/21/2030
N/A
76250000.00000000
PA
11807083.55000000
2.427656089815
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
0.02680000
N
N
N
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 3.65% 09/24/2031
N/A
10950000.00000000
PA
2218642.43000000
0.456175378407
Long
DBT
NUSS
RO
N
2
2031-09-24
Fixed
0.03650000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 11.15% 08/26/2022
N/A
45000000.00000000
PA
1644279.30000000
0.338080495416
Long
DBT
NUSS
UA
N
2
2022-08-26
Fixed
0.11150000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: CNY/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
6326.05000000
0.001300700019
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1432606.63000000
USD
9180000.00000000
CNY
2022-02-17
6326.05000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/RUB settle 2022-02-17
N/A
1.00000000
NC
N/A
3684.38000000
0.000757545883
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
66106000.00000000
RUB
875344.28000000
USD
2022-02-17
3684.38000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/IDR settle 2022-02-17
N/A
1.00000000
NC
N/A
-15367.36000000
-0.00315968502
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
30583100000.00000000
IDR
2122941.83000000
USD
2022-02-17
-15367.36000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/BRL settle 2022-02-17
N/A
1.00000000
NC
N/A
-5549.81000000
-0.00114109720
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1896000.00000000
BRL
331294.78000000
USD
2022-02-17
-5549.81000000
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: ZAR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-2839.26000000
-0.00058378064
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
160437.23000000
USD
2527000.00000000
ZAR
2022-02-17
-2839.26000000
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 3.828% 07/05/2034
N/A
23250000.00000000
PA
5531302.24000000
1.137291822377
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
0.03828000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 5.75% 03/05/26
N/A
275000000.00000000
PA
12658421.04000000
2.602699709463
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
0.05750000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/RON settle 2022-02-17
N/A
1.00000000
NC
N/A
-11319.52000000
-0.00232740808
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
4586000.00000000
RON
1043721.60000000
USD
2022-02-17
-11319.52000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/RUB settle 2022-02-17
N/A
1.00000000
NC
N/A
-8584.48000000
-0.00176505612
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
93672000.00000000
RUB
1226554.93000000
USD
2022-02-17
-8584.48000000
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 4.75% 02/24/2025
N/A
5550000.00000000
PA
1279024.90000000
0.262980487464
Long
DBT
NUSS
RO
N
2
2025-02-24
Fixed
0.04750000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/HUF settle 2022-02-17
N/A
1.00000000
NC
N/A
-5891.52000000
-0.00121135624
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
109058000.00000000
HUF
328814.79000000
USD
2022-02-17
-5891.52000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: HUF/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
8208.51000000
0.001687752882
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
1209523.62000000
USD
396776000.00000000
HUF
2022-02-17
8208.51000000
N
N
N
SOUTH AFRICA REPUBLIC OF
549300KEVMSOSY8T8R35
SOUTH AFRICA GOVT 8.875% 2/28/35
N/A
195500000.00000000
PA
11022210.25000000
2.266278181510
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
0.08875000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MYR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
6550.38000000
0.001346824542
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
371015.58000000
USD
1576000.00000000
MYR
2022-02-17
6550.38000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 9.75% 06/05/2026 REGS
N/A
40000000.00000000
PA
757073.00000000
0.155661884757
Long
DBT
NUSS
DO
N
2
2026-06-05
Fixed
0.09750000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA GOVT 8.375% 9/15/26
N/A
120750000000.00000000
PA
9560875.29000000
1.965812897269
Long
DBT
NUSS
ID
N
2
2026-09-15
Fixed
0.08375000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: USD/CZK settle 2022-02-17
N/A
1.00000000
NC
N/A
-48986.54000000
-0.01007212929
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
26496000.00000000
CZK
1158653.69000000
USD
2022-02-17
-48986.54000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: PLN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
19665.12000000
0.004043348056
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
948222.49000000
USD
3912000.00000000
PLN
2022-02-17
19665.12000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/INR settle 2022-02-17
N/A
1.00000000
NC
N/A
-55290.40000000
-0.01136826682
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
362878000.00000000
INR
4793632.76000000
USD
2022-02-17
-55290.40000000
N
N
N
POLAND REPUBLIC OF
259400R9L8QEP0TPXS31
POLAND REPUBLIC OF 1.25% 10/25/2030
N/A
21400000.00000000
PA
4369813.98000000
0.898478059800
Long
DBT
NUSS
PL
N
2
2030-10-25
Fixed
0.01250000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-547.41000000
-0.00011255304
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1375209.58000000
USD
45932000.00000000
THB
2022-02-17
-547.41000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/COP settle 2022-02-17
N/A
1.00000000
NC
N/A
20239.61000000
0.004161469025
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
3434300000.00000000
COP
860588.78000000
USD
2022-02-17
20239.61000000
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/EUR settle 2022-02-17
N/A
1.00000000
NC
N/A
-9232.59000000
-0.00189831411
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
996000.00000000
EUR
1125715.06000000
USD
2022-02-17
-9232.59000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-6534.90000000
-0.00134364169
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1241450.16000000
USD
93655000.00000000
RUB
2022-02-17
-6534.90000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MYR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
7342.32000000
0.001509655435
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
426283.56000000
USD
1810000.00000000
MYR
2022-02-17
7342.32000000
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
INTL FIN CORP 5.85% 11/25/2022
45950VLJ3
175000000.00000000
PA
2362109.97000000
0.485673759248
Long
DBT
CORP
US
N
2
2022-11-25
Fixed
0.05850000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 5.75% 11/03/2027
N/A
31100000000.00000000
PA
6901909.19000000
1.419102507871
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
0.05750000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA GOVT 7.5% 8/26/26
N/A
13650000000.00000000
PA
3328941.59000000
0.684464143018
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
0.07500000
N
N
N
N
N
N
BRAZIL LETRAS DO TESOURO NACIONAL
254900ZFY40OYEADAP90
BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2023
N/A
119000000.00000000
PA
18136134.11000000
3.728973055149
Long
DBT
NUSS
BR
N
2
2023-07-01
Fixed
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/CZK settle 2022-02-17
N/A
1.00000000
NC
N/A
-22746.27000000
-0.00467686373
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
16484000.00000000
CZK
728564.93000000
USD
2022-02-17
-22746.27000000
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 2.25% 06/22/2034
N/A
470000000.00000000
PA
1124452.61000000
0.231198857432
Long
DBT
NUSS
HU
N
2
2034-06-22
Fixed
0.02250000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: CZK/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
26970.10000000
0.005545326009
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
1187643.59000000
USD
26649000.00000000
CZK
2022-02-17
26970.10000000
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 3.0% 06/26/2024
N/A
365000000.00000000
PA
1095443.06000000
0.225234199825
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
0.03000000
N
N
N
N
N
N
SOUTH AFRICA REPUBLIC OF
549300KEVMSOSY8T8R35
SOUTH AFRICA 10.5% 12/21/26
N/A
88750000.00000000
PA
6165149.77000000
1.267617301121
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
0.10500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MYR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
14397.35000000
0.002960241134
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1270668.50000000
USD
5364000.00000000
MYR
2022-02-17
14397.35000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: RON/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
17623.46000000
0.003623562060
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
1206279.46000000
USD
5320000.00000000
RON
2022-02-17
17623.46000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 8.25% 05/15/2036
N/A
113500000000.00000000
PA
8819593.05000000
1.813397752870
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
0.08250000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-15871.26000000
-0.00326329197
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1465358.89000000
USD
109928000.00000000
RUB
2022-02-17
-15871.26000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/ZAR settle 2022-02-17
N/A
1.00000000
NC
N/A
1202.79000000
0.000247305819
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
6876000.00000000
ZAR
430028.92000000
USD
2022-02-17
1202.79000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/CZK settle 2022-02-17
N/A
1.00000000
NC
N/A
-34153.78000000
-0.00702236345
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
29100000.00000000
CZK
1292172.10000000
USD
2022-02-17
-34153.78000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-6674.44000000
-0.00137233253
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
376140.30000000
USD
28020000.00000000
RUB
2022-02-17
-6674.44000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: HUF/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-2136.27000000
-0.00043923877
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
151363.51000000
USD
48623000.00000000
HUF
2022-02-17
-2136.27000000
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 2.36% 07/02/2023
N/A
75250000.00000000
PA
11818734.62000000
2.430051667937
Long
DBT
NUSS
CN
N
2
2023-07-02
Fixed
0.02360000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/MXN settle 2022-02-17
N/A
1.00000000
NC
N/A
-38343.34000000
-0.00788377946
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
50945000.00000000
MXN
2430916.08000000
USD
2022-02-17
-38343.34000000
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 6.75% 03/09/2023
N/A
104000000.00000000
PA
5086390.08000000
1.045813371320
Long
DBT
NUSS
MX
N
2
2023-03-09
Fixed
0.06750000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/PLN settle 2022-02-17
N/A
1.00000000
NC
N/A
-14277.96000000
-0.00293569334
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
4968000.00000000
PLN
1214879.93000000
USD
2022-02-17
-14277.96000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/BRL settle 2022-02-17
N/A
1.00000000
NC
N/A
-41481.40000000
-0.00852899641
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
7613000.00000000
BRL
1311049.11000000
USD
2022-02-17
-41481.40000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: IDR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
7740.82000000
0.001591591076
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1639429.37000000
USD
23558600000.00000000
IDR
2022-02-17
7740.82000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/CZK settle 2022-02-17
N/A
1.00000000
NC
N/A
-72545.98000000
-0.01491618903
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
53259000.00000000
CZK
2354903.85000000
USD
2022-02-17
-72545.98000000
N
N
N
POLAND REPUBLIC OF
259400R9L8QEP0TPXS31
POLAND REPUBLIC OF 2.5% 07/25/2026
N/A
48000000.00000000
PA
11220788.50000000
2.307107883093
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
0.02500000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 16.2% 06/14/2023
N/A
31250000.00000000
PA
2185066.90000000
0.449271909017
Long
DBT
NUSS
TR
N
2
2023-06-14
Fixed
0.16200000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: COP/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-21312.79000000
-0.00438212571
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
1027686.16000000
USD
4112800000.00000000
COP
2022-02-17
-21312.79000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-24253.06000000
-0.00498667503
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1830706.43000000
USD
137000000.00000000
RUB
2022-02-17
-24253.06000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: CNY/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
499.11000000
0.000102622076
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
973366.76000000
USD
6213000.00000000
CNY
2022-02-17
499.11000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: MXN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
28269.91000000
0.005812580124
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
951194.11000000
USD
20208000.00000000
MXN
2022-02-17
28269.91000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-13398.57000000
-0.00275488184
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1415799.74000000
USD
106357000.00000000
RUB
2022-02-17
-13398.57000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10% 01/01/2029
N/A
16000000.00000000
PA
2770776.88000000
0.569699819414
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
0.10000000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 3.25% 10/22/2031
N/A
937000000.00000000
PA
2612470.95000000
0.537150515144
Long
DBT
NUSS
HU
N
2
2031-10-22
Fixed
0.03250000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: HUF/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-90916.04000000
-0.01869325962
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
6513887.08000000
USD
2092809000.00000000
HUF
2022-02-17
-90916.04000000
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 2.875% 06/17/2046
N/A
23000000.00000000
PA
685540.60000000
0.140954098051
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
0.02875000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-28812.09000000
-0.00592405782
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1909686.06000000
USD
142644000.00000000
RUB
2022-02-17
-28812.09000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: MXN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
23036.51000000
0.004736540023
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1141385.68000000
USD
24024000.00000000
MXN
2022-02-17
23036.51000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: USD/PLN settle 2022-02-17
N/A
1.00000000
NC
N/A
-23211.17000000
-0.00477245188
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
4877000.00000000
PLN
1183431.95000000
USD
2022-02-17
-23211.17000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: CZK/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
183670.43000000
0.037764502641
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
10145719.08000000
USD
226630000.00000000
CZK
2022-02-17
183670.43000000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: MXN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
123643.19000000
0.025422293481
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
4898000.19000000
USD
103605000.00000000
MXN
2022-02-17
123643.19000000
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4.5% 03/01/2026
N/A
3050000000.00000000
PA
3442919.83000000
0.707899224787
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
0.04500000
N
N
N
N
N
N
INTER AMERICAN DEV BANK
VKU1UKDS9E7LYLMACP54
INTER AMERICAN DEV BANK 5.7% 11/12/2024
N/A
105000000.00000000
PA
1415032.50000000
0.290945029004
Long
DBT
CORP
US
N
2
2024-11-12
Fixed
0.05700000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: PLN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
22465.07000000
0.004619046165
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1208424.72000000
USD
4975000.00000000
PLN
2022-02-17
22465.07000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: PLN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
38670.01000000
0.007950946130
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
2711100.68000000
USD
11114000.00000000
PLN
2022-02-17
38670.01000000
N
N
N
SOUTH AFRICA REPUBLIC OF
549300KEVMSOSY8T8R35
SOUTH AFRICA REPUBLIC OF 8.0% 01/31/2030
N/A
154000000.00000000
PA
8930962.06000000
1.836296350496
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
0.08000000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA GOVT 8.25% 05/15/2029
N/A
117000000000.00000000
PA
9157235.57000000
1.882820478337
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
0.08250000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: IDR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
14710.67000000
0.003024662903
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1263418.34000000
USD
18280400000.00000000
IDR
2022-02-17
14710.67000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 11.75% 06/15/2022
N/A
19500000.00000000
PA
711188.03000000
0.146227469698
Long
DBT
NUSS
UA
N
2
2022-06-15
Fixed
0.11750000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-21017.02000000
-0.00432131240
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1181366.63000000
USD
88000000.00000000
RUB
2022-02-17
-21017.02000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/ZAR settle 2022-02-17
N/A
1.00000000
NC
N/A
6518.47000000
0.001340263522
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
19001000.00000000
ZAR
1191527.98000000
USD
2022-02-17
6518.47000000
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 4.065% 06/15/2050
N/A
14500000.00000000
PA
3398805.57000000
0.698828885657
Long
DBT
NUSS
MY
N
2
2050-06-15
Fixed
0.04065000
N
N
N
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
CZECH REPUBLIC 2% 10/13/2033
N/A
113000000.00000000
PA
4739004.14000000
0.974387299912
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
0.02000000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-12990.56000000
-0.00267099084
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
1188108.25000000
USD
89120000.00000000
RUB
2022-02-17
-12990.56000000
N
N
N
KAZAKHSTAN REPUBLIC OF
5493007OEK8EF02UO833
KAZAKHSTAN REPUBLIC OF 8.05% 05/20/2024
N/A
830000000.00000000
PA
1830919.66000000
0.376455645777
Long
DBT
NUSS
KZ
N
2
2024-05-20
Fixed
0.08050000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2022-02-17
N/A
1.00000000
NC
N/A
-21679.32000000
-0.00445748799
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
2106000.00000000
EUR
2378119.63000000
USD
2022-02-17
-21679.32000000
N
N
N
BRAZIL LETRAS DO TESOURO NACIONAL
254900ZFY40OYEADAP90
BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2022
N/A
23500000.00000000
PA
4001449.21000000
0.822738528240
Long
DBT
NUSS
BR
N
2
2022-07-01
Fixed
0.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 8.9% 02/15/2023 REGS
N/A
116250000.00000000
PA
2093403.44000000
0.430424972266
Long
DBT
NUSS
DO
N
2
2023-02-15
Fixed
0.08900000
N
N
N
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
CZECH REPUBLIC 0.95% 05/15/2030 REGS
N/A
244000000.00000000
PA
9489928.08000000
1.951225431560
Long
DBT
NUSS
CZ
N
2
2030-05-15
Fixed
0.00950000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/PLN settle 2022-02-17
N/A
1.00000000
NC
N/A
-95280.26000000
-0.01959058750
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
14126000.00000000
PLN
3399704.51000000
USD
2022-02-17
-95280.26000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 6.5% 02/28/2024
N/A
345000000.00000000
PA
4425666.96000000
0.909961998781
Long
DBT
NUSS
RU
N
2
2024-02-28
Fixed
0.06500000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO GOVT 7.75% 11/13/42
N/A
141750000.00000000
PA
6740091.18000000
1.385831084344
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
0.07750000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: CLP/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-10204.26000000
-0.00209809931
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
751656.22000000
USD
635826000.00000000
CLP
2022-02-17
-10204.26000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 8.5% 09/17/2031
N/A
579750000.00000000
PA
7808186.61000000
1.605442334163
Long
DBT
NUSS
RU
N
2
2031-09-17
Fixed
0.08500000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 12.4% 03/08/2028
N/A
7750000.00000000
PA
373762.19000000
0.076849295836
Long
DBT
NUSS
TR
N
2
2028-03-08
Fixed
0.12400000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: IDR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
8038.24000000
0.001652743643
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1313432.94000000
USD
18900300000.00000000
IDR
2022-02-17
8038.24000000
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU REPUBLIC OF 5.4% 08/12/2034
N/A
15250000.00000000
PA
3483491.23000000
0.716241115980
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
0.05400000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/HUF settle 2022-02-17
N/A
1.00000000
NC
N/A
-7753.26000000
-0.00159414886
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1630313000.00000000
HUF
4995786.57000000
USD
2022-02-17
-7753.26000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: ZAR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
3291.02000000
0.000676667079
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1095030.25000000
USD
17611000.00000000
ZAR
2022-02-17
3291.02000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-543343.17000000
-0.11171686470
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
22946008.99000000
USD
748547000.00000000
THB
2022-02-17
-543343.17000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: USD/COP settle 2022-02-17
N/A
1.00000000
NC
N/A
14871.17000000
0.003057663330
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
4832900000.00000000
COP
1197447.97000000
USD
2022-02-17
14871.17000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/BRL settle 2022-02-17
N/A
1.00000000
NC
N/A
-83349.75000000
-0.01713755368
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
13854000.00000000
BRL
2377960.87000000
USD
2022-02-17
-83349.75000000
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 3.3% 06/17/2038
N/A
168000000.00000000
PA
5510556.91000000
1.133026372192
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
0.03300000
N
N
N
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 8.25% 05/21/2031
917288BM3
31500000.00000000
PA
678513.17000000
0.139509187192
Long
DBT
NUSS
UY
N
2
2031-05-21
Fixed
0.08250000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: COP/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-3992.29000000
-0.00082085530
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
282501.86000000
USD
1138200000.00000000
COP
2022-02-17
-3992.29000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 7.05% 01/19/2028
N/A
360000000.00000000
PA
4496311.36000000
0.924487203684
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
0.07050000
N
N
N
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 2.88% 11/05/2023
N/A
123750000.00000000
PA
19610484.02000000
4.032114345068
Long
DBT
NUSS
CN
N
2
2023-11-05
Fixed
0.02880000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: BRL/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
6143.16000000
0.001263095981
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1230907.93000000
USD
6963000.00000000
BRL
2022-02-17
6143.16000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: ZAR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-13439.45000000
-0.00276328718
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1403008.25000000
USD
22281000.00000000
ZAR
2022-02-17
-13439.45000000
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 1.6% 06/17/2035
N/A
180750000.00000000
PA
4975184.74000000
1.022948425906
Long
DBT
NUSS
TH
N
2
2035-06-17
Fixed
0.01600000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/THB settle 2022-02-17
N/A
1.00000000
NC
N/A
-12450.02000000
-0.00255985034
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
38909000.00000000
THB
1152026.39000000
USD
2022-02-17
-12450.02000000
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 3.81% 09/14/2050
N/A
15250000.00000000
PA
2562031.67000000
0.526779687772
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
0.03810000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 3% 10/27/2038
N/A
760000000.00000000
PA
1882795.23000000
0.387121788935
Long
DBT
NUSS
HU
N
2
2038-10-27
Fixed
0.03000000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 7.5% 04/15/2040
N/A
60750000000.00000000
PA
4431883.53000000
0.911240188603
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
0.07500000
N
N
N
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU GOVT 6.95% 8/12/31
N/A
11500000.00000000
PA
3091879.37000000
0.635721747014
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
0.06950000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA TREASURY BOND 8.375% 03/15/2034
N/A
57788000000.00000000
PA
4547219.22000000
0.934954375854
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
0.08375000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/CZK settle 2022-02-17
N/A
1.00000000
NC
N/A
-63731.07000000
-0.01310375416
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
42866000.00000000
CZK
1890024.44000000
USD
2022-02-17
-63731.07000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/RUB settle 2022-02-17
N/A
1.00000000
NC
N/A
12622.65000000
0.002595344820
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
46048000.00000000
RUB
619801.95000000
USD
2022-02-17
12622.65000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 7.25% 05/10/2034
N/A
335000000.00000000
PA
4112640.71000000
0.845600628010
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
0.07250000
N
N
N
N
N
N
KAZAKHSTAN REPUBLIC OF
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT BOND - MEOKAM 10.5% 08/04/2026
N/A
440000000.00000000
PA
1016924.64000000
0.209090016575
Long
DBT
NUSS
KZ
N
2
2026-08-04
Fixed
0.10500000
N
N
N
N
N
N
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
254900ZFY40OYEADAP90
BRAZIL GOVT 10% 1/01/23
N/A
30500000.00000000
PA
5387962.99000000
1.107819819262
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
0.10000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: TRY/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
18786.69000000
0.003862733942
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
149960.68000000
USD
2319000.00000000
TRY
2022-02-17
18786.69000000
N
N
N
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
254900ZFY40OYEADAP90
NOTAS DO TESOURO 10% 01/01/2025
N/A
16500000.00000000
PA
2913660.94000000
0.599078230851
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
0.10000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MXN settle 2022-01-03
N/A
1.00000000
NC
N/A
-4697.69000000
-0.00096589269
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
45994257.45000000
MXN
2241609.24000000
USD
2022-01-03
-4697.69000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/IDR settle 2022-02-17
N/A
1.00000000
NC
N/A
-43439.34000000
-0.00893156873
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
33836000000.00000000
IDR
2322306.11000000
USD
2022-02-17
-43439.34000000
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: MXN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
40149.66000000
0.008255177173
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
869324.95000000
USD
18764000.00000000
MXN
2022-02-17
40149.66000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/TRY settle 2022-02-17
N/A
1.00000000
NC
N/A
36746.65000000
0.007555483814
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
2319000.00000000
TRY
205494.02000000
USD
2022-02-17
36746.65000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.0% 01/01/2027
N/A
51750000.00000000
PA
9055315.34000000
1.861864645681
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
0.10000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/PLN settle 2022-02-17
N/A
1.00000000
NC
N/A
-15617.78000000
-0.00321117391
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1589000.00000000
PLN
377524.71000000
USD
2022-02-17
-15617.78000000
N
N
N
POLAND REPUBLIC OF
259400R9L8QEP0TPXS31
POLAND REPUBLIC OF 2.75% 10/25/2029
N/A
27250000.00000000
PA
6306763.83000000
1.296734587681
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
0.02750000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 5.5% 06/24/2025
N/A
675000000.00000000
PA
2164392.57000000
0.445021057152
Long
DBT
NUSS
HU
N
2
2025-06-24
Fixed
0.05500000
N
N
N
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 3.885% 08/15/2029
N/A
25100000.00000000
PA
6147555.14000000
1.263999666801
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
0.03885000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: ILS/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
19619.13000000
0.004033892046
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1171105.43000000
USD
3701000.00000000
ILS
2022-02-17
19619.13000000
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
53534372.11400000
NS
USD
53545078.99000000
11.00941113351
Long
STIV
RF
US
N
1
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/ILS settle 2022-02-17
N/A
1.00000000
NC
N/A
-533.20000000
-0.00010963132
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
3701000.00000000
ILS
1190191.36000000
USD
2022-02-17
-533.20000000
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU REPUBLIC OF 5.35% 08/12/2040
N/A
2250000.00000000
PA
480644.31000000
0.098825343385
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
0.05350000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
9670.74000000
0.001988402195
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1171445.75000000
USD
39465000.00000000
THB
2022-02-17
9670.74000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-11751.05000000
-0.00241613502
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1351902.10000000
USD
101636000.00000000
RUB
2022-02-17
-11751.05000000
N
N
N
BRAZIL LETRAS DO TESOURO NACIONAL
254900ZFY40OYEADAP90
BRAZIL LETRAS DO TESOURO NACIONAL 0% 01/01/2024
N/A
10750000.00000000
PA
1564998.51000000
0.321779561164
Long
DBT
NUSS
BR
N
2
2024-01-01
Fixed
0.00000000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: USD/ZAR settle 2022-02-17
N/A
1.00000000
NC
N/A
-15007.46000000
-0.00308568593
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
14042000.00000000
ZAR
860730.84000000
USD
2022-02-17
-15007.46000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: CZK/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
126650.75000000
0.026040678311
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
4826150.91000000
USD
108666000.00000000
CZK
2022-02-17
126650.75000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: BRL/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
13696.18000000
0.002816073473
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1137189.50000000
USD
6478000.00000000
BRL
2022-02-17
13696.18000000
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 11% 02/24/2027
N/A
16250000.00000000
PA
767726.21000000
0.157852292746
Long
DBT
NUSS
TR
N
2
2027-02-24
Fixed
0.11000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/ZAR settle 2022-02-17
N/A
1.00000000
NC
N/A
1546.03000000
0.000317879443
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
34496000.00000000
ZAR
2152911.11000000
USD
2022-02-17
1546.03000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: PEN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
26265.77000000
0.005400508620
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
1379471.42000000
USD
5611000.00000000
PEN
2022-02-17
26265.77000000
N
N
N
SOUTH AFRICA REPUBLIC OF
549300KEVMSOSY8T8R35
SOUTH AFRICA GOVT 6.5 2/28/41
N/A
148250000.00000000
PA
6190210.15000000
1.272769969336
Long
DBT
NUSS
ZA
N
2
2041-02-28
Fixed
0.06500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MYR settle 2022-02-17
N/A
1.00000000
NC
N/A
-19175.21000000
-0.00394261759
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
4727000.00000000
MYR
1113283.09000000
USD
2022-02-17
-19175.21000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: RUB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-71008.76000000
-0.01460012101
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
4686035.61000000
USD
350000000.00000000
RUB
2022-02-17
-71008.76000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EGP/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
57909.98000000
0.011906879036
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2332732.92000000
USD
37557000.00000000
EGP
2022-02-17
57909.98000000
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4.7% 09/01/2030 144A REGS
N/A
1000000000.00000000
PA
1100766.78000000
0.226328810634
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
0.04700000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 8.0% 03/12/2025
N/A
38250000.00000000
PA
1925655.76000000
0.395934348465
Long
DBT
NUSS
TR
N
2
2025-03-12
Fixed
0.08000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
19396.73000000
0.003988164351
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
4720946.88000000
USD
4160000.00000000
EUR
2022-02-17
19396.73000000
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 4.762% 04/07/2037
N/A
27000000.00000000
PA
7049041.53000000
1.449354408749
Long
DBT
NUSS
MY
N
2
2037-04-07
Fixed
0.04762000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: MXN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
29610.14000000
0.006088145000
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1159676.71000000
USD
24537000.00000000
MXN
2022-02-17
29610.14000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA TREAS 10% 7/24/24
N/A
8300000000.00000000
PA
2186706.04000000
0.449608932820
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
0.10000000
N
N
N
N
N
N
PHILIPPINES REPUBLIC OF
529900RAHBALMYIJ3T08
PHILIPPINE GOVT 3.9% 11/26/22
718286BX4
30000000.00000000
PA
584196.18000000
0.120116657768
Long
DBT
NUSS
PH
N
2
2022-11-26
Fixed
0.03900000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/BRL settle 2022-02-17
N/A
1.00000000
NC
N/A
-13217.69000000
-0.00271769107
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
3264000.00000000
BRL
566666.67000000
USD
2022-02-17
-13217.69000000
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 4.25% 06/28/2023
N/A
15250000.00000000
PA
3501421.75000000
0.719927812689
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
0.04250000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: BRL/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
1503.80000000
0.000309196527
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
195521.86000000
USD
1109000.00000000
BRL
2022-02-17
1503.80000000
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 5.0% 03/01/2035
N/A
2825000000.00000000
PA
3070886.41000000
0.631405381591
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
0.05000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10% 01/01/2031
N/A
8500000.00000000
PA
1459010.20000000
0.299987290013
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
0.10000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 7% 06/30/2032
N/A
19500000000.00000000
PA
4363856.37000000
0.897253114780
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
0.07000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/RON settle 2022-02-17
N/A
1.00000000
NC
N/A
-13634.30000000
-0.00280335031
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
5610000.00000000
RON
1276985.13000000
USD
2022-02-17
-13634.30000000
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 5% 02/12/2029
N/A
5500000.00000000
PA
1264794.39000000
0.260054550325
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
0.05000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 7.25% 10/26/2050
N/A
3250000000.00000000
PA
685417.49000000
0.140928785387
Long
DBT
NUSS
CO
N
2
2050-10-26
Fixed
0.07250000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MXN settle 2022-02-17
N/A
1.00000000
NC
N/A
-100013.60000000
-0.02056381019
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
37916000.00000000
MXN
1737741.63000000
USD
2022-02-17
-100013.60000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MXN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
4548.05000000
0.000935125192
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
2270253.25000000
USD
46933000.00000000
MXN
2022-02-17
4548.05000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2022-02-17
N/A
1.00000000
NC
N/A
-10756.55000000
-0.00221165574
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1058000.00000000
EUR
1194840.45000000
USD
2022-02-17
-10756.55000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MXN settle 2022-02-17
N/A
1.00000000
NC
N/A
-35300.93000000
-0.00725822912
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
27814000.00000000
MXN
1312819.23000000
USD
2022-02-17
-35300.93000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA GOVT 8.125% 05/15/2024
N/A
85000000000.00000000
PA
6488686.20000000
1.334139671462
Long
DBT
NUSS
ID
N
2
2024-05-15
Fixed
0.08125000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: PLN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
271011.20000000
0.055722650500
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
13626043.85000000
USD
56169000.00000000
PLN
2022-02-17
271011.20000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 7.7% 03/16/2039
N/A
142500000.00000000
PA
1796034.69000000
0.369282942246
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
0.07700000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/IDR settle 2022-02-17
N/A
1.00000000
NC
N/A
-16145.69000000
-0.00331971756
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
18325200000.00000000
IDR
1265115.64000000
USD
2022-02-17
-16145.69000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/PEN settle 2022-02-17
N/A
1.00000000
NC
N/A
-6108.73000000
-0.00125601682
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1499000.00000000
PEN
369439.31000000
USD
2022-02-17
-6108.73000000
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICAN BONOS 7.75% 11/23/2034
N/A
109250000.00000000
PA
5362309.93000000
1.102545290029
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
0.07750000
N
N
N
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND GOVT 4.875% 6/22/29
N/A
161250000.00000000
PA
5878108.21000000
1.208598646072
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
0.04875000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: PLN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
14879.18000000
0.003059310267
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1107148.00000000
USD
4535000.00000000
PLN
2022-02-17
14879.18000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
4232.17000000
0.000870177061
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1232341.28000000
USD
41318000.00000000
THB
2022-02-17
4232.17000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MYR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
117761.20000000
0.024212896699
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
14291315.20000000
USD
60145000.00000000
MYR
2022-02-17
117761.20000000
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: PLN/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
24198.88000000
0.004975535080
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
1364789.12000000
USD
5614000.00000000
PLN
2022-02-17
24198.88000000
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
CZECH REPUBLIC 1.2% 03/13/2031
N/A
45000000.00000000
PA
1769819.24000000
0.363892779928
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
0.01200000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/COP settle 2022-02-17
N/A
1.00000000
NC
N/A
26335.25000000
0.005414794412
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
4738900000.00000000
COP
1185910.91000000
USD
2022-02-17
26335.25000000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: ZAR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-228.19000000
-0.00004691817
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
114606.77000000
USD
1834000.00000000
ZAR
2022-02-17
-228.19000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 6.5% 06/15/2025
N/A
34750000000.00000000
PA
2567391.69000000
0.527881762229
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
0.06500000
N
N
N
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 6.0% 01/01/2043
N/A
550000000.00000000
PA
656579.03000000
0.134999305618
Long
DBT
NUSS
CL
N
2
2043-01-01
Fixed
0.06000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: ZAR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
21263.41000000
0.004371972685
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2318820.10000000
USD
37522000.00000000
ZAR
2022-02-17
21263.41000000
N
N
N
KAZAKHSTAN REPUBLIC OF
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT BOND - MEUKAM 7.2% 05/27/2025
N/A
825851000.00000000
PA
1709290.58000000
0.351447473732
Long
DBT
NUSS
KZ
N
2
2025-05-27
Fixed
0.07200000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: INR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
4998.15000000
0.001027670316
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
4496930.06000000
USD
336910000.00000000
INR
2022-02-17
4998.15000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 8.375% 04/15/2039
N/A
15000000000.00000000
PA
1185581.48000000
0.243767572890
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
0.08375000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY GOVT 6.75% 10/22/28
N/A
1118000000.00000000
PA
3895712.30000000
0.800997947479
Long
DBT
NUSS
HU
N
2
2028-10-22
Fixed
0.06750000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: BRL/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
4462.98000000
0.000917633938
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
303422.92000000
USD
1733000.00000000
BRL
2022-02-17
4462.98000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/ZAR settle 2022-01-03
N/A
1.00000000
NC
N/A
-3264.31000000
-0.00067117523
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
16724499.00000000
ZAR
1046280.65000000
USD
2022-01-03
-3264.31000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: PHP/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
-3805.88000000
-0.00078252751
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
539148.43000000
USD
27351000.00000000
PHP
2022-02-17
-3805.88000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/CNY settle 2022-02-17
N/A
1.00000000
NC
N/A
-15881.70000000
-0.00326543854
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
15393000.00000000
CNY
2396916.85000000
USD
2022-02-17
-15881.70000000
N
N
N
SOUTH AFRICA REPUBLIC OF
549300KEVMSOSY8T8R35
SOUTH AFRICA 7% 2/28/31
N/A
56750000.00000000
PA
3000574.25000000
0.616948488600
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
0.07000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/THB settle 2022-02-17
N/A
1.00000000
NC
N/A
-24984.72000000
-0.00513711175
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
118681000.00000000
THB
3526924.22000000
USD
2022-02-17
-24984.72000000
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 3.28% 12/03/2027
N/A
88750000.00000000
PA
14436046.71000000
2.968197570549
Long
DBT
NUSS
CN
N
2
2027-12-03
Fixed
0.03280000
N
N
N
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 1.6% 12/17/2029
N/A
114000000.00000000
PA
3370505.13000000
0.693010028255
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
0.01600000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MYR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
18410.62000000
0.003785410137
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1148785.66000000
USD
4872000.00000000
MYR
2022-02-17
18410.62000000
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 8.5% 03/15/2028 REGS
N/A
99000000.00000000
PA
2203122.97000000
0.452984420079
Long
DBT
NUSS
UY
N
2
2028-03-15
Fixed
0.08500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/BRL settle 2022-02-17
N/A
1.00000000
NC
N/A
-8298.98000000
-0.00170635443
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
4013000.00000000
BRL
704653.20000000
USD
2022-02-17
-8298.98000000
N
N
N
ASIAN INFRASTRUCTURE INVESTMENT BANK
25490065OSV2524LCR32
ASIAN INFRASTRUCTURE INVESTMENT BANK 2.375% 02/10/2025 REGS
N/A
57900000.00000000
PA
1093413.12000000
0.224816823579
Long
DBT
CORP
CN
N
3
2025-02-10
Fixed
0.02375000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: IDR/USD settle 2022-02-17
N/A
1.00000000
NC
N/A
7623.40000000
0.001567448333
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
3457932.19000000
USD
49566000000.00000000
IDR
2022-02-17
7623.40000000
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO GOVT 8% 12/07/23
N/A
122250000.00000000
PA
6054496.11000000
1.244865786708
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
0.08000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/BRL settle 2022-02-17
N/A
1.00000000
NC
N/A
-38005.10000000
-0.00781423389
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
7083000.00000000
BRL
1220365.27000000
USD
2022-02-17
-38005.10000000
N
N
N
SOUTH AFRICA REPUBLIC OF
549300KEVMSOSY8T8R35
SOUTH AFRICA 8.75% 2/28/48
N/A
83000000.00000000
PA
4349722.95000000
0.894347140329
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
0.08750000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/MXN settle 2022-02-17
N/A
1.00000000
NC
N/A
-17466.10000000
-0.00359120724
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
19681000.00000000
MXN
936454.69000000
USD
2022-02-17
-17466.10000000
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 6.35% 08/12/2028
N/A
7400000.00000000
PA
1949955.15000000
0.400930549421
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
0.06350000
N
N
N
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 1.585% 12/17/2035
N/A
52000000.00000000
PA
1416748.52000000
0.291297860115
Long
DBT
NUSS
TH
N
2
2035-12-17
Fixed
0.01585000
N
N
N
N
N
N
2022-01-30
Stacie M. Smith
Stacie M. Smith
Stacie M. Smith
President and Treasurer